Application of Linear Programming in the maximization of the performance of the returns of a portfolio composed of two assets, using Solver.
DOI:
https://doi.org/10.5377/reice.v8i16.10658Keywords:
Linear programming, maximization, performance index, Solver.Abstract
Mathematical programming is a fundamental tool for solving optimization problems, within which is the linear programming technique that is used to model linear problems that provide optimal and efficient solutions. The objective of this article was to maximize the performance of the returns of a portfolio made up of two assets, through the linear programming technique and the use of the Solver tool, the assets being the shares of Walmart, Inc. (WMT) and from Starbucks Corporation (SBUX). To achieve the maximum performance of the returns, we started with a portfolio composed in equal parts whose performance index was 0.2938 and a monthly return of 1.21%; Then, using the Solver tool, the proportions that have to be invested to obtain the maximum performance portfolio were determined, where 66% of the capital must be invested in WMT shares and 34% in SBUX shares, this The last portfolio generated an expected return of 1.26% per month.
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