Description
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ABC Investments. ABC Inc. is considering several investment options. Each option has a minimum and maximum investment allowed (only if the option is chosen). These restrictions, along with the expected return are summarized in the following table ( gures are in millions of dollars):
CS/ECE/ISyE 524 Introduction to Optimization L. Roald, Spring 2022
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Consider a simple instance of this problem, where Cmax = 500 and 1 = 2 = 3 = 4 = 1. Also assume for simplicity that each variable has a lower bound of zero and no upper bound. Solve this problem using JuMP. Use the Ipopt solver and the command @NLconstraint(…) to specify nonlinear constraints such as log-sum-exp functions. What is the optimal T , r, and w?
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