LINEAR PROGRAMMING FORMULATION PROBLEMS SET 3

CURRENCY ARBITRAGE MODEL.

Suppose that a company has 5 million US $ that can be exchanged for various international currencies. Currency dealers have set the following restrictions on the amount of any single transaction : 5 million US$, million euros, .5 million pounds, !"" million yen and #.$ %illion &uwaiti 'inars.(he typical exchange rates existing at present are given below. $ $ ) * + &' ! ) .,-. ! * .-#5 .$! ! + !"5 ! , !-. ! &' . /# .//5 .5/ ."" # !

0s it possible to increase the dollar holdings by circulating currencies in the mar1et2 INVESTMENT DECISION MODEL 3n investment counselor is attempting to determine the best investment mix for one of his clients. Some information about the possible options are given in the table below. SHARES UNDER CONSIDERATION A
Current price per share 4ro5ected annual growth rate 4ro5ected annual dividend per share 7s 4ro5ected ris1 in return $" $6 / 56

B
!"" ,6 /.5 6

C
!-" !"6 ,.5 !"6

D
!#" !#6 5.5 #"6

E
!5" .6 5.,5 -6

F
#"" !56 " $6

Client wants to invest 5" la1hs of 7s. with the following conditions. i8 investment in 9 not to be more than 7s5:. ii8 %aximum investment in 3 and ; put together not to exceed 7s!" :a1hs. iii8 (otal weighted ris1 to be less than !"6 iv8 3t least !"" shares of each should be held. v8 0nvestment in 3 and ; must be at least !"6 of total investment. v8 'ividends for the year should be at least 7s """". 0f the ob5ective is to maximi<e the rupee rate of return for one year, formulate an :44 to help the Counselor. MULTI PERIOD PRODUCTION-INVENTORY MODEL. 3cme manufacturing company has contracted to deliver home windows over the next - months. (he demands for each month are !"",#5",!.",!/",##" and!!" units respectively. 4roduction cost per window varies from month to month depending on the cost of labour,material and utilities. 3cme estimates the same to be 7s 5"",/5",55",/$",5#" and 5"" over the next six months. (o ta1e advantage of these fluctuations, 3cme may elect to produce more in a month than the demand and hold the excess units for delivery in the later months.(his however will result in an additional storage cost of 7s $" per unit per month. 9ormulate an :44 to get the optimum production schedule. MULTI PERIOD PRODUCTION SMOOTHING MODEL. 3 Company plans to manufacture a product for the next / months, the demands for the same being 5#",,#",5#" and -#" respectively. (he company has !" permanent wor1ers, but can meet fluctuating re=uirements by hiring and firing temporary wor1ers. (he costs of hiring and firing are 7s.#"" and /"" per wor1er respectively. 3 permanent wor1er produces !# units per month, while a temporary wor1er can produce only !" units. (he cost of holding extra stoc1s is 7s 5" per unit per month. 'evelop an optimal hiring>firing policy for the company over the next / months.