What'sBest!® 10.0.3.1 (Oct 28, 2010) - Library 6.1.1.

517 - 32-bit - Status Report -

DATE GENERATED: Jan 31, 2011 03:21 PM

MODEL INFORMATION:

CLASSIFICATION DATA Current Capacity Limits

--------------------------------------------------------
Total Cells 40
Numerics 35
Adjustables 6 300
Continuous 6
Free 0
Integers/Binaries 0/0 30
Constants 22
Formulas 7
Strings 0
Constraints 5 150
Nonlinears 3 30
Coefficients 36

Minimum coefficient value: 0.1 on <RHS>

Minimum coefficient in formula: Portfoliooptimierung!H5
Maximum coefficient value: 1.053 on Portfoliooptimierung!G7
Maximum coefficient in formula: Portfoliooptimierung!H14

MODEL TYPE: Nonlinear (Nonlinear Program)

SOLUTION STATUS: LOCALLY OPTIMAL

OPTIMALITY CONDITION: SATISFIED

OBJECTIVE VALUE: 0.55875994790322

DIRECTION: Minimize

SOLVER TYPE: Multistart

TRIES: 63

INFEASIBILITY: 5.5511151231258e-017

BEST OBJECTIVE BOUND: . . .

STEPS: ...

ACTIVE: ...

SOLUTION TIME: 0 Hours 0 Minutes 0 Seconds

NON-DEFAULT SETTINGS:

General Options / Reports Warnings / Warning Nonlinearity Present: Off

Nonlinear Solver Options / Iteration Limit for Slow Progress: 10000

End of Report
Beispiel 5 - Portfoliooptimierung
Portfolio
Rendite Transaktionskosten Anteil in t0 Verkauf Kauf
WP1 15.05% 5.00% 10.00% 2.95% 0.00%
WP2 16.00% 4.80% 60.00% 10.00% 0.00%
WP3 15.80% 5.30% 30.00% 0.00% 11.70%

Varianz-Kovarianzmatrix
WP1 WP2 WP3 Rendite Ist
WP1 0.40 1.10 1.40 15.65% =>=
WP2 1.10 0.10 0.80
WP3 1.40 0.80 0.22 Verkaufserlös
12.32% =>=
Variance 55.88%

1) Veränderbare Größen
in Worten: Kauf und Verkauf von Wertpapieren
mathematisch: F5:G7

2) Zielfunktion
in Worten: Minimiere: Portfolio-Varianz
mathematisch: Minimiere: H5^2*B11+H6^2*C12+H7^2*D13+2*H5*H6*C11+2*H5*H7*D11+2*H6*

3) Bedingungen
a) in Worten: Gesamtrendite mindestens 15.65%
a) mathematisch: B5*H5+B6*H6+B7*H7 >= 0.1565

b) in Worten: Verkaufserlöse muss Ankaufskosten decken

b) mathematisch: F5*(1-C5)+F6*(1-C6)+F7*(1-C7) >= G5*(1+C5)+G6*(1+C6)+G7*(1+C7)

c) in Worten: Maximial 40% von einzelnem Wertpapier in Portfolio

c) mathematisch: H5 <= 0,4, H6 <= 0,4, H7 <= 0,4
 Anteile in t1
7.05% <= 40%
50.00% Not <= 40%
41.70% Not <= 40%

Rendite Soll
15.65%

Ankaufskosten
12.32%

C11+2*H5*H7*D11+2*H6*H7*D12

C6)+G7*(1+C7)