Thomas R. Sprague - Southern Methodist...
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1980-01 Spring 1980 Portfolio Planning for Personal Finances Using Linear Programming Thomas R. Sprague
Transcript of Thomas R. Sprague - Southern Methodist...
1980-01 Spring 1980
Portfolio Planning for Personal Finances Using Linear
Programming
Thomas R. Sprague
PORTFOLIO PLANNING FOR PERSONAL FINANCES
USING LINEAR PROGRAMMING
0
Thomas R. Sprague
.PORTFOLIO PLANNING FOR PERSONAL FINANCES
USING LINEAR PROGRAMMING
I . INTRODUCTION
The following is an explanation of a linear programming model
that can be used by investors and investment counselors to help
them make better investment decisions. This model is designed
to maximize an individuals net worth by selecting the type of
investments one should make and telling them when to invest and
when to sell each investment. It accomplishes this within the
constraints of cash availability and income taxes. It also
• allows the investor to invest at the level of risk they feel
comfortable with. Finally it promotes diversification by
preventing the investment portfolio from becoming overly exposed
to any one investment risk.
0 II.THE MODEL
l.Notation Used For Variable Names
All investment variable names are of the form:
TYPE##
where 'TYPE' specifies the type of investment such as 'RE' for real estate or 'GROWTH' for growth mutual funds. The first # of the variable name indicates the year in which the investment is purchased. The second # of the variable name indicates the year in which the investment was sold or closed out. Note that purchases are assumed to be made at the beginning of the year and sales are assumed to occur at the end of the year. So the variable 'RE13' represents a real estate investment that was purchased in the beginning of year 1 and sold at the end of year 3.
The scale used in this model is thousands of dollars for each variable except employee stock options. Also, except for the risk and diversification constraints, the right-hand-side values are in thousands of dollars.
• 2.The Objective Function
The objective is to maximize net worth at the end of year 3. Net Worth is calculated as the sum of the market values of all investments at the end of year 3 + cash at the end of year 3 - taxes from year 3.
3.Cash Flow Constraints
Cash flow constraints limit the amount of cash invested to an amount equal to the sum of cash from investments sales in the previous year + cash income generated by investments + any cash from salary or savings. These constraints force all cash to be invested in either a money market fund or some riskier investment.
The right-hand-side should be equal to the amount of cash to invest in that year from sources other than the investments chosen by the model. These other sources would usually include salaries and any savings available at the beginning of the first year.
(See Constraints # 4, 7, 18, and 19 in Appendix A.)
Constraint # 7 is used to calculate the amount of cash on hand at the beginning of year 4, 'CASH41.
S
4.Ordinary Income Constraints
SThe ordinary income constraints calculate the taxable income for each year. Taxable Income is equal to the ordinary income from investments + any salary + 40% of the amount of long-term capital gains.
The right-hand-sides of the ordinary income constraints are equal to:
+ Income from other sources including salary - 3.4 - the Net Itemized Deductions.
The 3.4 is the zero-bracket amount and must be added to the right hand side for purposes of the tax calculations.
(See Constraints # 3, 14, and 15 in Appendix A.)
5.Long-term Capital Gain Constraints
The capital gain constraints sum the long-term capital gains for each year. This total is then plugged into the Ordinary Income Constraint as discussed in #4 above.
The right-hand-side should be equal to the amount of long-term capital gains from sources other than the investments chosen by the model.
(See Constraints # 16 and 17 in Appendix A.)
6.Regular Tax Calculation Constraints
The tax calculations are for married persons filing a joint return and are the rate schedules for the year 1984 and after. The variable TIP# is the clients taxable income reduced by the zero-bracket amount or 3.4, and also reduced by the personal/dependent exemption deduction. So a quick check on the tax calculation is performed by adding 3.4 to TIP# and using this as your taxable income to apply to the rate schedule.
The right hand side of the regular tax calculation constraint must be equal to the amount of tax credits from other sources.
(See Constraints # 2, 5, 6, 8, 9, 10, 11, 12, 13, in Appendix A.)
Constraints # 2, 8 and 9 set lower bounds on TIP# or the positive value of taxable income which is used by the tax calculations. These lower bounds may be unnecessary.
Constraints # 6, 12 and 13 force the taxable income or TIP# into each of the tax brackets Y#Bl through Y#B14. The variables Y#B#
. are the tax brackets (B#) for each year (Y#). These variables have upper bounds which are specified at the end of the model listing in Appendix A.
Constraints # 5, 10 and 11 calculate the regular tax or REGTAX#.
7.Alternative Minimum Tax Calculation Constraints
Alternative minimum tax is calculated on alternative minimum taxable income. Alternative minimum taxable income or AMTI is equal to:
+ The sum of tax preferences from each investment + The sum of tax preferences from other sources + TIP# (equal to taxable income - 3.4) + 3.4 + 2.0 (the personal/dependent deduction) + Net Itemized Deductions + (.6*total capital gains)
(See Constraints # 44, 45, 46, 47, 48, 49, 50, 53, and 54 in Appendix A.)
Constraints # 44, 47 and 48 calculate alternative minimum taxable income - 40,000. The 40000 or 40 is the automatic deduction for married couples filing jointly. Any tax preference items from other sources should be added to the right-hand-side value.
Constraints # 46, 49 and 50 serve two purposes:
1) Calculate alternative minimum tax which equals . AMTI# * 20%.
2) Calculate AMTNEG# which is used in constraints 46, 53 and 54.
Constraints # 46, 53 and 54 pick the larger of alternative minimum tax and regular tax as the taxes due for that year (TAXES#). TAXES# is equal to the larger of REGTAX# (regular tax) and 20% of AMTI#.
8.Constraints On Overall Risk
Each asset is assigned an overall risk factor from 0 to 1, where a value of 0 indicates an essentially risk-free investment and a value of 1 represents an excessively risky investment. The right hand side of the overall risk constraint represents the risk tolerance of the client in each year. This right hand side can also be varied from year to year in order allow a client to increase their level of risk over time or build up to a certain level of risk over time. It is usually wise not to make all your riskier investments in the same year, but instead to average these investments over a period of years. Increasing the RHS each year promotes this averaging.
(See Constraints # 35, 36, and 37 in Appendix A.)
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0 9.Diversification Constraints
Diversification constraints, as the name implies, prevent the portfolio from placing all funds in those investments that have the best economic projections without regard to risk or the exposure of having all your eggs in one basket. The constraints put a limit on the amount of funds in each area of exposure. For my grocery list of investments the areas that require diversification constraints are:
Market Risk - the extent to which fluctuations in the stock markets effect the gain or loss associated with this investment.
(See Constraints # 20, 21, and 22 in Appendix A.)
Business/Economic Risk - the extent to which fluctuations in business or economic activity affect the gain or loss associated with this investment. The major classifications are:
Cyclical (See Constraints # 26, 27, and 28 in Appendix A.)
Stable • (See Constraints 4 29, 30, and 31 in Appendix A.)
Growth (See Constraints # 23, 24, and 25 in Appendix A.)
Industry Risk - the exposure associated with certain industries due to basic technological, regulatory, or economic changes. The classifications are:
Industrial (These constraints are the same as the 'Growth' constraints.)
Transportation (There are no investments with this classification in the examples)
Utilities (See Constraints # 32, 33, and 34 in Appendix A.)
Other (There are no investments with this classification in the examples)
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Liquidity Risk - the risk associated with a lack of a continuous market with many buyers and sellers and frequent transactions.
(This constraint is not used in the example models.)
Interest Rate Risk - the relative impact of changes in interest rates on the gain or loss associated with this investment.
(See Constraints # 41, 42, and 43 in Appendix A.)
Leverage Risk - the extent to which the investor is at risk for more than the amount of cash invested.
(This constraint is not used in the example models.)
De-inflation Risk - the extent to which low inflation will reduce the gain or increase the loss potential of this investment. Usually associated with precious metals and collectables.
(This constraint is not used in the example models.)
Venture Capital Risk - these constraints are necessary to prevent the model from putting to much of the investment funds in the high risk and potentially high return venture capital investments.
(See Constraints # 38, 39, and 40 in Appendix A.)
10.The Portfolio Of Investment Choices
The parameters of each investment choice are shown in Appendix B. Each investment choice is representative of the market place for investments in the spring of 1983. Please note that many of the financial projections and risk measurements associated with each investment are the educated opinions of the author. The ten choices used for the investment portfolio are:
l.Money Market Fund - 'MMK' 2.Municipal Bonds - 'MUNI' 3.Corporate Bond Mutual Fund - 'BOND' 4.Growth Stock Mutual Fund - 'GROWTH' 5.Utilities Company Common Stock - 'UTIL' 6.Real Estate (Miniwarehouse) - 'RE' 7.Real Estate (Office Building) - 'REII' 8.Equipment Leasing Partnership - 'EL'
is9.Gold Coins - 'GOLD' lO.Venture Capital in Dallas High Tech Firm - 'HT'
0 ll.Employee Stock Option Programs
The following sections contain two sample runs of the model: Case I and Case II. Case II has the same investment possibilities as Case I except Case II has the added twist of the individual who participates in an Employee Stock Option Program (ESOP). There are basically two types of stock options for tax purposes: incentive and non-qualified stock options. The incentive stock options have the variable name 'IESOP' and the non-qualified or regular stock options have the variable name 'RESOPI.
To understand the difference between incentive and non-qualified stock options we need to understand the basic elements of employee stock options.
Exercise Date - This is the date when the options plus an amount of cash (the exercise price) are exchanged for the company stock.
Exercise Price - This is the price the employee must pay for the company stock at the exercise date.
.
Bargain Element - This is an equal to:
Market Value at Exercise
income tax term which is
Date - Exercise Price
For incentive stock options the bargain element is a tax preference item in the year of exercise, unless the stock is sold in the year of exercise. For non-qualified stock options the bargain element is ordinary income in the year of exercise regardless of when the stock is sold. Any other gains on the sale of the stock are capital gains.
Constraints 51 and 52 set the limit on the number of RESOP's and IESOP's that are available for exercise.
Appendix B contains the projections for the RESOP's and IESOP's.
0
. III.CASE I
On the next page is a summary of the input and output of Case II. Following this summary is a copy of the listing from the optimization run and a copy of the sensitivity analysis. Appendix A contains a listing of the model.
.
.
CASE I
INPUT ASSUMPTIONS
(In $1,000)
YEAR 1 YEAR 2 YEAR 3 101.00 101.00 101.00
100.00 50.00 50.00 0.00 0.00 0.00 2.00 2.00 2.00 0.00 0.00 0.00
30.00 40.00 45.00 0.00 0.00 0.00 2.00 2.00 2.00
YEAR 1 YEAR 2 YEAR 3 6.93 4.26 23.96
30.00 40.00 25.00 10.00
17.43 17.57
20.64 6.04 2.25
100.00 37.87 66.21
YEAR 1 YEAR 2 YEAR 3 35.15
30.00 40.00
l.Salary or other income 2.Cash for investment from
salary or other income 3.Other capital gains 4.Other tax preference 5.Net itemized deductions 6.Overall risk tolerance 7.Other tax credits 8 .Personal/dependent deduction
PURCHASES
1.Money Market Fund 2.Municipal Bonds 3.Corporate Bond Fund 4.Growth Stock Fund 5.Utilities Co. Common 6 .RE (Miniwarehouse) 7.RE (Office Building) 8 .Equipment Leasing 9.Gold Coins 10.Dallas High Tech
TOTAL
SALES
l.Money Market Fund 2.Municipal Bonds 3.Corporate Bond Fund 4.Growth Stock Fund 5.Utilities Co. Common 6.RE (Miniwarehouse) 7.RE (Office Building) 8 .Equipment Leasing 9.Gold Coins 10.Dallas High Tech
TAXES
16.95 15.17 27.07
OVERALL RISK
30 40 45
.
NET WORTH
179.91
OBJECTIVE FUNCTION VALUE
1) 179.912539
.RIABLE VALUE REDUCED COST
TIN1 0.000000 -.459266 TIP1 60.838209 0.000000
GROWTH11 0.000000 .075977 GROWTH12 0.000000 .032860 GROWTH13 0.000000 .115200 GROWTH14 25.000000 0.000000
RE13 0.000000 .076742 RE14 0,000000 .018742
BONt'11 01000000 .044539 BOND12 30,000000 0.000000 BOND13 0.000000 .174305 BONLI14 00000000 .060305
EL14 20,630576 01000000 MMK11 0.000000 -1000000 MMK12 0,000000 -.000000 MMK13 6.936942 0.000000
UTIL11 0.000000 .058927 MUNI11 01000000 .034870 MUNI12 0.000000 .030127 MUNI13 0.000000 .126527 MUNI14 0.000000 .126527
HT13 0.000000 01000000 HT14 0.000000 01000000
UTIL12 0.000000 .376215 UTIL13 0.000000 .433112 UTIL14 0.000000 .328712
Y1B1 2.100000 -.338982 Y1B2 2.100000 -.328047 Y1B3 4.300000 -.306177 Y1B4 4.100000 -.284307 Y1B5 4.200000 -.262438 Y1B6 4.400000 -.218698 Y1B7 5.300000 -.185893 Y1B8 5.300000 -+153089 Y1B9 10.600000 -.098414
Y1B1O 14.200000 -.043740 Y1B11 4,238209 06000000 Y1B12 0.000000 .032805 Y1B13 0.000000 .076544 Y1B14 0.000000 +087479
GROWTH24 10.000000 0+000000 GROWTH34 0.000000 .107600
RE24 0,000000 .216019 RE34 0,000000 +043800
BOND24 0+000000 .030397 BOND34 0.000000 +106800 TAXES3 27,068856 0.000000 MUN124 0,000000 .102592 MUNI34 0.000000 .096400
EL24 6+036090 0.000000 EL34 0.000000 .130400 .HT24 0.000000 +205859 HT34 0.000000 .292400
UTIL24 0+000000 .346362 UTIL34 0,000000 +076400 CASH4 85+314729 0.000000
GROWTH23 0.000000 .072000 GROWTH33 04,000000 .175100
BOND23 01000000 .030397 BOND33 40,000000 0.000000 MUN123 0.000000 .102592
0.000000 .106400 .
MUN133 ooLr'23 0.000000 .404546 60LB33 0.000000 .353600
MMK23 4.260051 04,000000 MMK33 236959288 00000000
UTIL23 0.000000 .455362 UTIL33 04000000 .131400
TIN2 0,000000 -.425378 TIP2 56.600000 0,000000 TIN3 0.000000 -.450000 TIP3 84.753014 0.000000
TAXES2 15,168000 01000000 Y2B1 2.100000 -.310538 Y2B2 2.100000 -.300098 Y2B3 4.300000 -.279218 Y2B4 4.100000 -.258338 Y2B5 4.200000 -.237458 Y2B6 4.400000 -.195698 Y2B7 5.300000 -.164378 Y2B8 5,300000 -.133058 Y2B9 10.600000 -.080858
Y2B1O 14.200000 -.028658 Y2B11 0.000000 .013102 Y2B12 0,000000 .044422 Y2B13 0,000000 .086182 Y2B14 0.000000 .096622
. Y3B1 2.100000 -.340000 Y3B2 2.100000 -.330000 Y3B3 4.300000 -.310000 Y3B4 4.100000 -.290000 Y3B5 4.200000 -.270000 Y3B6 4.400000 -.230000 Y3B7 5.300000 -.200000 Y3B8 5.300000 -.170000 Y3B9 10.600000 -.120000
Y3B1O 14.200000 -.070000 Y3B11 25,600000 -.030000 Y3B12 2,553014 0.000000 Y3B13 0,000000 .040000 Y3B14 0.000000 .050000
TAXES1 16.948048 0.000000 GROWTH22 0.000000 .049607
BONtJ22 0.000000 .005652 tIMK22 0.000000 -.000000
UTIL22 0.000000 .328100 LTCG2 2.400000 0.000000 LTCG3 0.000000 0,000000
G0Lt122 01000000 .003653 MUN122 01000000 .016632
AMTI1 35.017507 00000000 AMTPOS1 9,944546 01000000
0,000000 -1.093490 .
AMTNEG1 REOTAX1 16.948048 0.000000
AMT12 32.477815 0.000000 AMT13 54.667430 0.000000
AMTPOS2 8.672437 0.000000 AMTNEO2 0.000000 -1.044000
REGTAX2 15,168000 0.000000
AMTPOS3 16.135370 01000000 AMTNE03 01000000 -1.000000 REGTAX3 27.068856 0.000000 REII14 17.432481 01000000 RE1124 17.567519 00000000
V RE1134 10,000000 0.000000
ROW SLACK DUAL PRICES 2) 60.838209 0.000000 3) 00000000 -.459266 4) 01000000 1.144228 5) 0.000000 -1.093490 6) 0.000000 .459266 7) 0.000000 1,000000 8) 56.600000 0.000000 9) 84.753014 0.000000
10) 0.000000 -1.044000 11) 0.000000 -11000000 12) 0.000000 .425378 13) 04000000 .450000 14) 0.000000 -.425378 15) 0.000000 -.450000 16) 01000000 -.170151 17) 0.000000 -.180000 18) 0.000000 -1.093490 19) 0.000000 -1.044000 20) 01000000 .000599 21) 01000000 0.000000 22) 15.000000 0.000000 23) 0.000000 .109551
W94) 0.000000 .032116 25) 15.000000 0.000000 26) 4.369424 0.000000 27) 8.333333 00000000 28) 23,333333 0.000000 29) 7.567519 0.000000 30) 0.000000 .299943 31) 5.000000 0.000000 32) 25.000000 0.000000 33) 35.000000 0.000000 34) 50.000000 0.000000 35) 04,000000 .034075 36) 0.000000 .202647 37) 0.000000 .712000 38) 20.000000 0.000000 39) 20.000000 0.000000 40) 20.000000 0.000000 41) 0.000000 .064797 42) 5.000000 0.000000 43) 0.000000 00000000 44) 0.000000 0.000000 45) 0.000000 0.000000 46) 0.000000 -1.093490 47) 0.000000 01000000
0.000000 0.000000
.
48) 49) 0.000000 01000000 50) 0.000000 0.000000 51) 0.000000 0.000000 52) 0.000000 -1,044000 53) 0.000000 -1.000000
4) 0.000000 0.000000
NO. ITERATIONS = 131
DO RANGE(SENSITIVITY) ANALYSIS?
0
RANGES IN WHICH THE BASIS IS UNCHANGED
COEFFICIENT RANGES RIABLE .
COST CURRENT ALLOWABLE ALLOWABLE COEF INCREASE DECREASE
TIN1 0,000000 INFINITY -.459266 TIP 1 0 • 000000 -16.926984 -,526781
GROWTH11 0.000000 .075977 INFINITY GROWTH12 0,000000 .032860 INFINITY GROWTH13 0.000000 .115200 INFINITY GROWTH14 1.640000 INFINITY .000599
RE13 0.000000 .076742 INFINITY RE14 1.040000 .018742 INFINITY
BONI'll 01000000 .044539 INFINITY BOND12 0.000000 INFINITY .030127 BOND13 0.000000 .174305 INFINITY BONB14 1.040000 .060305 INFINITY
EL14 1.000000 -24.916520 -.775421 MMK11 01000000 -.000000 INFINITY MMK12 0.000000 -1000000 INFINITY MMK13 0.000000 -7.754213 -249.165200
UTIL11 0.000000 .058927 INFINITY MUNI11 01000000 .034870 INFINITY MUNI12 0+000000 .030127 INFINITY MUNI13 0,000000 .126527 INFINITY MUNI14 1.000000 .126527 INFINITY
HT13 0.000000 00000000 INFINITY HT14 1.950000 .000599 .109551
UTIL12 0.000000 .376215 INFINITY UTIL13 0.000000 .433112 INFINITY UTIL14 1.370000 .328712 INFINITY
Y1B1 0.000000 INFINITY .338982 Y1B2 01000000 INFINITY .328047 Y1B3 01000000 INFINITY .306177 Y1B4 01000000 INFINITY. .284307 Y1B5 0.000000 INFINITY .262438 Y1B6 0.000000 INFINITY .218698 Y1B7 0.000000 INFINITY .185893 Y1B8 00000000 INFINITY .153089 Y1B9 00000000 INFINITY .098414
V1B1O 0+000000 INFINITY .043740 Y1B11 0.000000 -16.926984 -.526781 Y1B12 0,000000 .032805 INFINITY Y1B13 0.000000 .076544 INFINITY Y1B14 0.000000 .087479 INFINITY
GROWTH24 1.400000 +075977 .032116 GROWTH34 1.150000 .107600 INFINITY
RE24 1.000000 .216019 INFINITY RE34 1.000000 .043800 INFINITY
BOND24 1.000000 +030397 INFINITY BOND34 10000000 .106800 INFINITY TAXES3 -11000000 -29,000000 -3.462460 MUNI24 1.000000 .102592 INFINITY MUNI34 1.000000 .096400 INFINITY .
EL24 1.000000 -.775421 -24.916520 EL34 1.000000 .130400 INFINITY HT24 1.560000 .205859 INFINITY HT34 1.250000 .292400 INFINITY
UTIL24 1+230000 .346362 INFINITY
U11L34 11110000 .076400 INFINITY CASH4 1.000000 -1,500000 .028823
GROWTH23 0.000000 .072000 INFINITY OROWTH33 0.000000 .175100 INFINITY
B0ND23 0.000000 .030397 INFINITY 0.000000 INFINITY 00000000
.BONt'33 MUNI23 0.000000 .102592 INFINITY MUNI33 01000000 6106400 INFINITY 60L023 0.000000 .404546 INFINITY GOLt'33 0,000000 .353600 INFINITY MMK23 0.000000 -1,777511 -1000000 MMK33 0.000000 -13.615585 -109.201967
UTIL23 0.000000 .455362 INFINITY UTIL33 01000000 .131400 INFINITY
TIN2 01000000 INFINITY -.425378 TIP2 00000000 .013102 .028658 TIN3 0.000000 INFINITY -.450000 TIP3 0.000000 -13.050000 -1.558107
TAXES2 06000000 .031195 -1,044000 Y2B1 0.000000 INFINITY .310538 Y2B2 0.000000 INFINITY .300098 Y2B3 0.000000 INFINITY .279218 Y2B4 01000000 INFINITY .259338 Y2B5 04000000 INFINITY .237458 Y2B6 0.000000 INFINITY .195698 Y2B7 0.000000 INFINITY .164378 Y2B8 0,000000 INFINITY .133058 Y2B9 0.000000 INFINITY .080858
Y2B1O 0.000000 INFINITY .028658 Y2B11 0.000000 .013102 INFINITY Y2B12 0.000000 .044422 INFINITY Y2B13 0.000000 .086182 INFINITY Y2B14 0.000000 .096622 INFINITY Y3B1 0.000000 INFINITY .340000 Y3B2 0.000000 INFINITY .330000 Y3B3 0.000000 INFINITY .310000 Y3B4 0.000000 INFINITY .290000 Y3B5 0.000000 INFINITY .270000 Y3B6 0.000000 INFINITY .230000 Y3B7 0.000000 INFINITY .200000 Y3B8 0.000000 INFINITY .170000 Y3B9 01000000 INFINITY .120000
Y3B1O 0.000000 INFINITY .070000 Y3B11 01000000 INFINITY .030000 Y3B12 0.000000 -13.050000 -1.558107 Y3B13 0.000000 .040000 INFINITY Y3B14 0.000000 .050000 INFINITY
TAXES1 0.000000 .003020 -1.254240 GROWTH22 0.000000 .049607 INFINITY
BONL'22 0.000000 .005652 INFINITY MMK22 0.000000 -.000000 INFINITY
UTIL22 01000000 .328100 INFINITY LTCG2 0.000000 .020294 .376588 LTCG3 0.000000 .180000 INFINITY
G0L022 0.000000 .003653 INFINITY MUNI22 0.000000 .016632 INFINITY
AMTI100000000 -22.207237 -.691106
AMTPOS1 01000000 .004458 -2.158805 AMTNEG1 0.000000 INFINITY -1.093490 REOTAX1 01000000 -40.302342 -1.254240
AMT12 01000000 --57,945395 -1.803305 AMT13 01000000 -13.050000 -1.658056
A MT P0 S 2 0 • 000000 -9,016527 -289 .726977
AMTNE02 0.000000 INFINITY -1.044000
OOUTPUT FILE LINE LIMIT EXCEEDED ERROR NUMBER 83 DETECTED BY OUTC= AT ADDRESS 000167 CALLED FROM RANGE AT LINE 94
.LLED FROM GO AT LINE 179 LLED FROM COMMND AT LINE 162
CALLED FROM LINDO AT LINE 38 .8.027 CP SECONDS EXECUTION TIME
/RN, BSIC=NEW RN,BASIC=NEW. IRE P LACE, BASIC /BYE
B35R011 LOG OFF 09.08.23. B35RO11 SRU 155.943 UNTS.
0
0
r
0 IV.CASE II
On the next page is a summary of the input and output of Case II. Following this summary is a listing of the model, a copy of the listing from the optimization run and a copy of the sensitivity analysis.
C
0
CASE II
0 INPUT ASSUMPTIONS
(In $1,000)
YEAR 1 YEAR 2 YEAR 3 1.Salary or other income 101.00 101.00 101.00 2.Cash for investment from
salary or other income 100.00 50.00 50.00 3.Other capital gains 0.00 0.00 0.00 4.Other tax preference 2.00 2.00 2.00 5.Net itemized deductions 0.00 0.00 0.00 6.Overall risk tolerance 30.00 40.00 45.00 7.Other tax credits 0.00 0.00 0.00 8.Personal/dependent deduction 2.00 2.00 2.00 9.# of IESOP's (In 100 1 s) 10.00 (all years) 10.# of RESOP'S (IN 100's) 10.00 (all years)
PURCHASES YEAR 1 YEAR 2 YEAR 3
1.Money Market Fund 13.78 0.00 100.77. 00 2.Municipal Bonds 7.98 3.Corporate Bond Fund 22.02 40.00
• 4.Growth Stock Fund 5.Utilities Co. Common
12.85
6.RE (Miniwarehouse) 6.22 7.RE (Office Building) 28.78 15.00 8.Equipment Leasing 25.00 2.25 9.Gold Coins 10.Dallas High Tech 2.15 ll.ff of IESOP's (In 100's) 10.00 12.# of RESOP'S (IN 100's) 10.00
TOTAL 100.00 38.78 158.02
SALESYEAR 1 YEAR 2 YEAR 3
1.Money Market Fund 13.78 100.77 2.Municipal Bonds 7.98 3.Corporate Bond Fund 22.02 40.00 4.Growth Stock Fund 5.Utilities Co. Common 6.RE (Miniwarehouse) 7.RE (Office Building) 8.Equipment Leasing 9.Gold Coins 10.Dallas High Tech 11.# of IESOP's (In 100 1 s) 10.00 12.# of RESOP'S (IN 100's) 10.00
TAXES 29.67 32.02 25.79
OVERALL RISK 30 40 45
NET WORTH 240.82
MAX 1.64 GROWTH14 + 1,04 RE14 + 1.04 BONL'14 + EL14 + MUNI14 + 1.95 HT14 + 1.37 UTIL14 + 1.4 GROWTH24 + 1,15 GROWTH34 + RE24 + RE34 + BONB24 + BONt'34 - TAXES3 + MUNI24 + MUNI34 + EL24 + EL34 + 1.56 HT24 + 1.25 HT34 + 1,23 UTIL24 + 1,11 UTIL34
W + CASH4 + REII14 + RE1124 + 0+5 RE1134 + 4.4 RESOP14 + 4.4 RESOP24 + 4,4 RESOP34 + 4.4 IESOP14 + 4.4 IESOP24 + 4.4 1E80P34
SUBJECT TO2) TIP1 :::.= 0 3) TIN1 + TIP1 - 0.15 GROWTH11 - 0+15 GROWTH12 - 0.15 GROWTH13
- 0.15 GROWTH14 + 0.3 RE13 + 0.3 RE14 * 0.12 BONti11 0.08 BONL'12 - 0.08 BONtI13 - 0.08 BONtI14 + 0.32 EL14
- 0+08 MMK11 0+08 MMK12 - 0+08 MMK13 - 0+1 UTIL11 + 2 REII14 - 3.2 RESOP11 3.2 RESOP12 3.2 RESOP13 - 3.2 RESOP14
3.2 IESOP = 95.6 4) GROWTH11 + GROWTH12 + GROWTH13 + GROWTH14 + RE13 + RE14
+ BONtI11 + BONLI12 + BONB13 + BONtI14 + EL14 + MMK11 + MMK12 + MMK13 + UTIL11 + MUNI11 + MUNI12 + MUNI13 + MUNI14 + HT14 + UTIL12 + UTIL13 + UTIL14 + REII14 + RESOP11 + RESOP12 + RESOP13 + RESOP14 + IESOP + IESOP12 + IESOP13 + IESOP14 = 100
5) 0+11 Y1B1 - 0+12 Y1B2 0+14 Y1B3 - 0+16 Y1B4 - 0.18 Y1B5 - 0+22 Y1B6 - 0.25 Y1B7 - 0+28 Y1BB - 0.33 Y1B9 - 0+38 Y1B10 - 0.42 Y1B11 - 0.45 Y1B12 - 0+49 Y1B13 - 0+5 Y1B14 + REGTAX1 = 0
6) TIP1 - Y1B1 -. Y1B2 - Y1B3 - Y1B4 Y1B5 - Y1B6 - Y1B7 - Y1B8 - Y1B9 - Y1B10 -. Y1B11 - Y1B12 - Y1B13 - Y1B14 = 0
7) - 1+64 GROWTH13 - 1+18 RE13 - 0+18 RE14 - 1,12 BONtI13 - 0+08 BOND14 - 0.16 EL14 - 1.08 MMK13 - 1.09 MUNI13 - 0+09 MUNI14 - 1.37 UTIL13 - 0+16 RE24 0+15 RE34
0.08 BONtI24 - 0.08 BOND34 - 0,09 MUNI24 - 0+09 MUNI34 0,14 EL24 - 0+09 EL34 + CASH4 1+4 GROWTH23 - 1.15 GROWTH33
- 1.08 BOND23 - 1+08 BOND33 - 1.09 MUNI23 - 1.08 MUNI33 - 1+3 GOLt'23 - 1.1 GOLD33 - 1.08 MMK23 - 1+08 MMK33 - 1.22 UTIL23 - 1.1 UTIL33 + 4,4 RESOP13 + 4.4 RESOP23 + 4.4 RESOP33 + 4.4 IESOF13 + 4.4 IESOP23 + 4.4 IESOP33 = 0
8) TIP2 :::.= 0 9) TIP3 :>= 0
10) -- 0+11 Y2B1 - 0.12 Y2B2 0+14 Y2B3 - 0+16 Y2B4 - 0,18 Y2B5 - 0.22 Y2B6 0.25 Y2B7 - 0+28 Y2B8 - 0+33 Y2B9 - 0.38 Y2B1O - 0+42 Y2B11 - 0.45 Y2B12 - 0.49 Y2B13 0+5 Y2B14 + REGTAX2 = 0
11) * 0.11 Y3B1 - 0+12 Y3B2 - 0,14 Y3B3 - 0+16 Y3B4 - 0.18 Y3B5 - 0.22 Y3B6 - 0+25 Y3B7 - 0+28 Y3B8 - 0.33 Y3B9 - 0.38 Y3B10 - 0,42 Y3B11 - 0.45 Y3B12 - 0+49 Y3B13 - 0.5 Y3B14 + REGTAX3 = 0
12) TIP2 - Y2B1 - Y2B2 - Y2B3 Y2B4 - Y2B5 - Y2B6 - Y2B7 - Y2B8 - Y2B9 - Y2B10 - Y2B11 - Y2B12 - Y2B13 - Y2B14 = 0
13) TIP3 - Y3B1 - Y3B2 - Y3B3 - Y3B4 - Y3B5 - Y3B6 - Y3B7 - Y3B8 - Y3B9 - Y3B10 - Y3B11 - Y3B12 - Y3B13 - Y3B14
0 14) 0.04 RE13 + 0.04 RE14 - 0+08 BONL'12 - 0+08 BONEI13
.- 0+08 BONtI14 + 0.3 EL14 - 0.08 MMK12 - 0,08 MMK13 - 0+22 UTIL12 + 0+3 RE24 - 0.08 BONtI24 + 0,32 EL24 - 0,08 BONt'23 - 0.08 MMK23 + TIN2 + TIP2 - 0+15 GROWTH22 - 0.12 BOND22 - 0.08 MMK22 - 0+1 UTIL22 - 0.4 LTCG2 + 2 RE1124 - 4,5 RESOP22 - 4.5 RESOP3 - 4.5 RESOP24 -- 4+2 IESOF * 4.5 IESOP22 95,6
15) 0.04 RE13 + 0.04 RE14 - 0.08 BONB13 - 0.08 BOND14 - 0.24 EL14
0.08 MMK13 - 0.14 UTIL13 + 0,04 RE24 + 0.3 RE34 - 0.08 BOND24
- 0.08 BONB34 + 0.3 EL24 + 0.32 EL34 - 0,15 GROWTH33 - 0.08 BONtI23 - 0.08 BONB33 0.08 MMK23 0.08 MMK33
0.22 UTIL23 0,1 UTIL33 + T1N3 + TIP3 * 0.4 LTC63 + 2 RE1134 3.4 RESOP33 - 3.4 RESOP34 - 3.4 IESOP33 = 95.6
16) 0.4 GROWTH12 - 0.08 BONB12 + LTCO2 - 0.18 60LB22 W - 1.3 RESOP12 - 4.5 IESOP12 = 0
17) - 0.64 GROWTH13 - 0,1 RE13 - 0.04 BOND13 - 0.23 UTIL13 0.4 GROWTH23 - 0.6 60L1123 0,1 GOLt'33 + LTCG3 - 0.2 RESOP13
+ 1,1 RESOP23 - 3.4 IESOP13 - 3.4 1E80P23 = 0 18) 1.15 GROWTH11 + 0.15 RE13 + 0.15 RE14 + 1.12 BONtI11
+ 0.08 BOND12 + 0,08 BOND13 + 0.08 BOND14 + 0.09 EL14 + 1.08 MMK11 + 0.08 MMK12 + 0.08 MMK13 + 1,1 UTIL11 + 1.08 MUNI11 + 0.09 MUNI12 + 0.09 MUNI13 + 0.09 MUNI14 - GROWTH24 - RE24 - BONB24 M1JN124 - EL24 - HT24 - UTIL24 - GROWTH23 - BONr'23 - MUNI23 - GOLt'23 - MMK23 UTIL23 - TAXES1 - GROWTH22 - BONL'22 - MMK22 - UTIL22 GOLt'22
MUNI22 - RE1124 + 4.2 RESOP11 - RESOP22 - RESOP23 - RESOP24 - IESOP22 - IESOP23 - IESOP24 = - 50
19) 1,4 GROWTH12 + 0.16 RE13 + 0+16 RE14 + 1.16 BONDI2 + 0.08 BONt'13 + 0.08 BONt'14 + 0.14 EL14 + 1.08 MMK12 + 0.08 MMK13 + 1.09 MUNI12 + 0.09 MUNI13 + 0.09 MUNI14 + 1.22 UTIL12 - GROWTH34 + 0.15 RE24 - RE34 + 0,08 BOND24 - BONL'34 + 0.09 MUNI24 - MUNI34 + 0.09 EL24 - EL34 - HT34 - UTIL34 - GROWTH33 + 0.08 BONt'23 - BONL'33 + 0.09 MUNI23 - MUNI33 - GOLD33 + 0.08 MMK23 - MMK33 - UTIL33 - TAXES2 + 1.15 GROWTH22 + 1.12 BOND22 + 1.08 MMK22 + 1,1 UTIL22 + 1.18 GOLB22 + 1.08 MUNI22 - RE1134 + 5,5 RESOP12 + 5.5 RESOP22 RESOP33 - RESOP34 + 5,5 IESOP12 + 5.5 IESOP22 - IESOP33 - IESOP34 = - 50
20) GROWTH11 + GROWTH12 + GROWTH13 + GROWTH14 + RESOP12
.+ RESOP13 + RESOP14 + IESOP12 + IESOP13 + IESOP14 <= 25
21) GROWTH12 + 6ROWTH13 + GROWTH14 + GROWTH24 + OROWTH23 + GROWTH22 + RESOP12 + RESOP13 + RESOP14 + RESOP23 + RESOP24 + IESOP12 + IESOP13 + IESOP14 + IESOP23 + 1E80P24
35 22) GROWTH13 + OROWTH14 + GROWTH24 + GROWTH34 + GROWTH23
+ GROWTH33 + RESOP13 + RESOP14 + RESOP23 + RESOP24 + RESOP34 + IESOP13 + IESOP14 + tESOP23 + IESOP24 + IESOP34
50 23) GROWTH11 + GROWTH12 + GROWTH13 + GROWTH14 + HT14
+ RESOP12 + RESOP13 + RESOP14 + IESOP12 + IESOP13 + IESOP14 25
24) GROWTH12 + GROWTH13 + GROWTH14 + HT14 + GROWTH24 + HT24 + GROWTH23 + GROWTH22 + RESOP12 + RESOP13 + RESOP14 + RESOP23 + RESOP24 + IESOP12 + IESOP13 + IESOP14 + IESOP23 + IESOP24 <= 35
25) GROWTH13 + GROWTH14 + HT14 + GROWTH24 + GROWTH34 + HT24 + HT34 + GROWTH23 + GROWTH33 + RESOP13 + RESOP14 + RESOP23 + RESOP24 + RESOP34 + IESOP13 + IESOP14 + IESOP23 + 1E80P24 + IESOP34 50
26) EL14 <= 25 27) EL14 + EL24 ::= 35 28) EL14 + EL24 + EL34 50 29) RE13 + RE14 + UTIL11 + UTIL12 + UTIL13 + UTIL14 + REII14
25
. 30) RE13 + RE14 + UTIL12 + UTIL13 + UTIL14 + RE24 + UTIL24 + U11L23 + UTIL22 + REII14 + RE1124 <= 35
31) RE13 + RE14 + UTIL13 + UTIL14 + RE24 + RE34 + UTIL24 + UTIL34 + UTIL23 + UTIL33 + REII14 + RE1124 + RE1134
50 32) UTIL11 + MUNI11 + MUNI12 + MUNI13 + MUNI14 + UTIL12
+ UTIL13 + UTIL14 25 33) MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14
+ MUNI24 + UTIL24 + MUNI23 + UTIL23 + UTIL22 + MUNI22 35
34) MUNI13 + IIUNI14 + UTIL13 + UTIL14 + MUNI24 + MUNI34 . + UTIL24 + UTIL34 + MUNI23 + MUNI33 + UTIL23 + UTIL33
50 35) 0,3 GROWTH11 + 0.3 GROWTH12 + 0,3 GROWTH13 + 0.3 GROWTH14
+ 0.4 RE13 + 0.4 RE14 + 0,15 BONLI11 + 0.15 BOND12 + 0.15 BONLI13 + 0.15 BOND14 + 0.45 EL14 + 0.2 UTIL11 + 0,2 MUNI11 + 0.2 MUNI12 + 0.2 MUNI13 + 0.2 MUNI14 + 0.7 HT14 + 0.2 UTIL12 + 0.2 UTIL13 + 0.2 UTIL14 + 0.5 REII14 + 0.6 RESOP12 + 0.6 RESOP13 + 0.6 RESOP14 + 0.6 IESOP12 + 0.6 IESOP13 + 0.6 IESOP14 30
36) 0.3 GROWTH12 + 0.3 GROWTH13 + 0.3 GROWTH14 + 0.15 BONL'13 + 0.15 BOND14 + 0.45 EL14 + 0.25 MUNI12 + 0.25 MUNI13 + 0.25 MUNI14 + 0.7 HT14 + 0.2 UTIL12 + 0.2 UTIL13 + 0.2 UTIL14 + 0.3 GROWTH24 + 0+15 B0Nt124 + 0.25 MUNI24 + 0.45 EL24 + 0+7 HT24 + 0.2 UTIL24 + 0.3 GROWTH23 + 0,15 B0Wt123 + 0.25 MUNI23 + 0,55 GOLB23 + 0.2 UTIL23 + 0.3 GROWTH22 + 0,15 BONB22 + 0+2 UTIL22 + 0.55 60LD22 + 0.25 MUNI22 + 0,5 REII14 + 0.5 RE1124 + 0.6 RESOP12 + 0.6 RESOP13 + 0.6 RESOP14 + 0.6 RESOP23 + 0.6 RESOP24 + 0.6 IESOP12 + 0.6 IESOP13 + 0.6 IESOP14 + 0.6 1E80P23 + 0.6 1E60P24 40
37) 0.3 GROWTH13 + 0.3 GROWTH14 + 0.4 RE13 + 0.4 RE14 + 0.15 BONB13 + 0.45 EL14 + 0.2 MUNI13 + 0.2 MUNI14 + 0.7 HT14 + 0.2 UTIL13 + 0.2 UTIL14 + 0,3 GROWTH24 + 0.3 GROWTH34 + 0.4 RE24 + 0.4 RE34 + 0,15 BONtI34 + 0.2 MUNI24 + 0.2 MUNI34 + 0.45 EL24 + 0.45 EL34 + 0,7 HT24 + 0.7 HT34 + 0+2 UTIL24 + 0.2 UTIL34 + 0.3 GROWTH23 + 0.3 GROWTH33 + 0.2 MUNI23 + 0.2 MUNI33 + 0.55 60LD23 + 0.55 G0Lt133 + 0.2 UTIL23 + 0.2 UTIL33 + 0.5 REII14 + 0.5 RE1124 + 0.5 RE1134 + 0.6 RESOP13 + 0.6 RESOP14 + 0.6 RESOP23 + 0.6 RESOP24 + 0.6 RESOP34 + 0.6 IESOP13 + 0+6 IESOP14 + 0.6 IESOP23 + 0.6 IESOP24 + 0+6 1E90P34 45
38) H113 + HT14 20 39) HT13 + HT14 + HT24 20 40) HT13 + H114 + HT24 + H134 20 41) BONtI11 + BOND12 + BONL'13 + BONLI14 + UTIL11 + MUNI11
+ MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14 30
42) BONEI12 + BOND13 + BOND14 + MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14 + BOND24 + UTIL24 + BONt!23 + UTIL23 + BONL'22 + UTIL22 35
43) BONL'13 + BOND14 + MUNI13 + MUNI14 + UTIL13 + UTIL14 + BONB24 + BOND34 + MUNI24 + MUNI34 + UTIL24 + UTIL34 + BONB23 + BONti33 + MUNI23 + MUNI33 + UTIL23 + UTIL33
40 44) TIP1 - 0.1 EL14 + AMTI1 - 0,5 REII14 - 3.2 IESOP12
- 3.2 IESOP13 - 3.2 IESOP14 = - 36.6 45) 0.2 AMTI1 + AMTPOS1 + AMTNEG1 - REGTAX1 = 0 46) TAXES1 + AMTNEG1 - REGTAX1 0 47) -. 0.08 EL14 - 0.1 EL24 - TIP2 0.6 LTCG2 + AMTI2 0.5 RE1124
4.5 1E80P23 - 4.5 IESOP24 = - 36.6 48) - 0,05 EL14 01-08 EL24 0.1 EL34 TIP3 - 0.6 LTCG3 + AMTI3
- 0,5 RE1134 - 3.4 IESOP34 = - 36.6 49) 0,2 AMTI2 + AMTPOS2 + AMTNEG2 - REOTAX2 = 0
•50)0.2 AMTI3 + AMTPOS3 + AMTNEG3 - REGTAX3 = 0 51) RESOP11 + RESOP12 + RESOP13 + RESOP14 + RESOP22 + RESOP23
+ RESOP24 + RESOP33 + RESOP34 <= 10 52) IESOP12 + IESOP13 + IESOP14 + 1E80P22 + IESOP23 + 1E80P24
+ IESOP33 + IESOP34 + IESOP11 <= 10 53) TAXES2 + AMTNEG2 - REGTAX2 = 0
REGTAX3 = 0 TAXES3 + AMTNEG3 * 0
TIN1 0.00 Y1B1 2.10 Y1B2 2,10 Y1B3 4.30 Y1B4 4.10 Y1B5 4.20 Y1B6 4.40 Y1B7 5.30 Y1B8 5.30 Y1B9 10.60
Y1B1O 14.20 Y1B11 25.60 Y1B12 23.80 Y1B13 53.00 TIN2 0.00 11N3 0.00 Y2B1 2.10 Y2B2 2.10 Y2B3 4,30 Y2B4 4.10 Y2B5 4.20 Y2B6 4.40 Y2B7 5.30 Y2B8 5.30 Y2B9 10.60
Y2B1O 14.20 Y2B11 25.60 Y2B12 23,80 Y2B13 53.00 Y3B1 2.10 Y3B2 2.10 Y3B3 4.30 Y3B4 4.10 Y3B5 4.20 Y3B6 4.40 Y3B7 5.30 Y3BB 5.30 Y3B9 10.60
Y3B1O 14.20 Y3B11 25.60 Y3B12 23.80 Y3B13 53.00
AMTNE61 0.00 AMTNE02 0.00 AMTNE63 0.00
GOLP OPTIMUM FOUND AT STEP 144
OBJECTIVE FUNCTION VALUE
240.824311
Of)
ARIABLE VALUE REDUCED COST TIN1 0,000000 -.506180 TIP1 90.523609 01000000
GROWTH11 0.000000 .071273 GROWTH12 0.000000 .131714 GROWTH13 0+000000 .107520 GROWTH14 12.845833 0.000000
RE13 0.000000 .056800 RE14 6.223334 0.000000
BOND11 0.000000 .011494 BOND12 22.020009 01000000 BOND13 0.000000 .167324 BOND14 0.000000 .101271
EL14 25.000000 0+000000 MMK11 13.776666 0.000000 MMK12 0.000000 .032403 MMK13 01000000 .032403
UTIL11 0,000000 .028121 MUNI11 7.979991 0.000000 MUNI12 0.000000 .094066 MUNI13 0.000000 .129577 MUNI14 0.000000 .129577
HT13 0.000000 0.000000 HT14 2.154167 0.000000
SUTIL12 01000000 .419879 UTIL13 0.000000 .495267 UTIL14 0+000000 .397827
Y1B1 2.100000 -.382447 Y1B2 2.100000 -.371199 Y1B3 4.300000 -.348702 Y1B4 4.100000 -.326205 Y1B5 4.200000 -+303708 Y1B6 4.400000 -.258714 Y1B7 5,300000 -.224969 Y1B8 5.300000 -.191224 Y1B9 10.600000 -.134981
Y1B10 14.200000 -.078739 Y1B11 25.600000 -.033745 Y1B12 8+323609 0+000000 Y1B13 0.000000 .044994 Y1B14 04,000000 .056242
GROWTH24 10.000000 0.000000 GROWTH34 0.000000 .015067
RE24 0.000000 .185090 RE34 0.000000 .024444
BONB24 0.000000 .105031 B0ND34 0.000000 .059333 TAXES3 25.791442 04000000 MUN124 0.000000 .140825
0 MUN134 EL240.000000 0.000000
.035511
.009869 EL34 2.245925 04000000 HT24 0.000000 +191894 HT34 0.000000 .073289
U11L24 0.000000 +447839
UTIL34 01000000 .111333 CASH4 157.353102 0.000000
OROWTH23 01000000 .067200 GROWTH33 0.000000 .078067
BOND23 0.000000 .105031
.BOND33 40.000000 0,000000 MUN123 01000000 .140825 MUN133 0.000000 .045511 00LB23 01000000 .409500 GOLt'33 0.000000 .180756 MMK23 0.000000 .032403 MMK33 100.769230 0.000000
UTIL23 0.000000 .550239 UTIL33 01000000 .163333
TIN2 0.000000 -.470880 TIP2 95.763975 0.000000 TIN3 0.000000 -.420000 TIP3 81.893909 0.000000
TAXES2 32,023789 0.000000 Y2B1 2.100000 -.355776 Y2B2 2.100000 -.345312 Y2B3 4.300000 -.324384 Y2B4 4.100000 -.303456 Y2B5 4.200000 -.282528 Y2B6 4.400000 -.240672 Y2B7 5.300000 -.209280 Y2B8 5.300000 -.177888 Y2B9 10.600000 -.125568
Y2B1O 14.200000 -.073248 Y2B11 25.600000 -.031392 Y2B12 13.563975 0.000000 Y2B13 04,000000 .041856 Y2B14 0.000000 .052320 Y3B1 2.100000 -.310000 Y3B2 2.100000 -.300000 Y3B3 4.300000 -.280000 Y3B4 4.100000 -.260000 Y3B5 4+200000 -.240000 Y3B6 4.400000 -.200000 Y3B7 5.300000 -.170000 Y3B8 5.300000 -.140000 Y3B9 10.600000 -.090000
Y3B10 14.200000 -.040000 Y3B11 25.293909 0.000000 Y3B12 0+000000 4,030000 Y3B13 01000000 .070000 Y3B14 0.000000 .080000
TAXES1 29.665624 0.000000 GROWTH22 0.000000 .148605
BONtI22 0.000000 .082010 MMK22 04-000000 .032403
UTIL22 0.000000 .398954 LTCG2 46.761601 0.000000 LTC63 0.000000 0.000000
G0Lt122 0.000000 .190296 MUNI22 0.000000 +115778
88.423609 0.000000 .
AMTI1 AMTPOS1 11.980902 01000000 AMTNEG1 0.000000 -1.124845 REGTAX1 29.665624 0.000000
AMT12 103+609269 0.000000 AMT13 54.268501 00000000
AMTPOS2 11,301935 0.000000 AMTNEG2 0.000000 -1.046400 REGTAX2 32.023789 0.000000 AMTPOS3 14.937741 0.000000 AMTWEG3 0.000000 -1.000000 REGTAX3 25.791442 0.000000
W REII14 0,000000 +021433 RE1124 28.776666 0.000000 RE1134 15.000000 01000000
RESOP11 0.000000 .581161 RESOP12 0.000000 .237014 RESOP13 01000000 10,418290 RESOP14 0.000000 1.584690 RESOF22 10.000000 0+000000 RESOP23 0.000000 10.509476 RESOP24 01000000 1.894276 RESOP33 01000000 9.385795 RESOP34 01000000 .823128
IESOP 0.000000 4.771811 IESOP12 10.000000 06000000 IESOP13 0.000000 10.116149 IESOP14 01000000 .744949 IESOP22 0.000000 .780036 IESOP23 0.000000 9.926552 IESOP24 0.000000 .555352 1E80P33 0.000000 10.165831 1E80P34 01000000 .175164 IESOP11 0.000000 3.291431
ROW SLACK DUAL PRICES 2) 90.523609 0.000000 3) 0.000000 -.506180 4) 0.000000 1,174338 5) 0.000000 -1.124845 6) 01000000 .506180 7) 0.000000 1.000000 8) 95.763975 0.000000 9) 81.893909 0+000000
10) 0.000000 -1.046400 11) 0.000000 -1.000000 12) 0.000000 .470880 13) 0.000000 .420000 14) 0.000000 -.470880 15) 0.000000 -.420000 16) 0.000000 -.188352 17) 01000000 -.168000 18) 0.000000 -1.124845 19) 0.000000 -1.046400 20) 2.154167 0+000000 21) 2.154167 0.000000 22) 27.154167 0.000000 23) 0.000000 .089055 24) 01000000 .011234 25) 25,000000 0.000000 26) 0.000000 .001668
10.000000 0.000000
.
27) 28) 22+754075 0+000000 29) 18.776666 0.000000 30) 0.000000 +281225 31) 0.000000 .095822 32) 17+020009 01000000
33) 35,000000 0.000000
34) 50.000000 0.000000 35) 0.000000 .085082 36) 01000000 .484180 37) 01000000 .395556 38) 17.845833 01000000 39) 17.845833 0.000000 40) 17.845833 0.000000 41) 0.000000 .023478 42) 12.979991 01000000 43) 0.000000 01000000 44) 0.000000 0.000000 45) 01000000 0.000000 46) 01000000 -1.124845 47) 0.000000 01000000 48) 0.000000 0.000000 49) 0.000000 01000000 50) 0.000000 0.000000 51) 0.000000 2.511395 52) 0.000000 3.291431 53) 0.000000 -1.046400 54) 0.000000 -1.000000 55) 06000000 00000000
NO. ITERATIONS= 144
DO - RANGE(SENSITIVITY) ANALYSIS? ':.YES
RANGES IN WHICH THE BASIS IS UNCHANGED
COST COEFFICIENT RANGES ORIABLE CURRENT ALLOWABLE ALLOWABLE
COEF INCREASE DECREASE TIN1 0.000000 INFINITY -.506180 TI P1 0.000000 -23•621908 -.517264
GROWTH11 0.000000 .071273 INFINITY GROWTH12 0.000000 .131714 INFINITY GROWTH13 00000000 .107520 INFINITY GROWTH14 1.640000 .017550 -16.488092
RE13 00000000 .056800 INFINITY RE14 1.040000 -20,610115 .039850
BOND11 0.000000 .011494 INFINITY BONB12 0,000000 -1.145006 .011000 BOND13 0.000000 .167324 INFINITY BOND14 1.040000 .101271 INFINITY
EL14 1.000000 INFINITY .001668 MMK11 0,000000 .001752 -20.610115 11MK12 00000000 .032403 INFINITY MMK13 0.000000 .032403 INFINITY
UTIL11 0.000000 .028121 INFINITY MUNI11 0.000000 1011000 -1.145006 MUNI12 04,000000 .094066 INFINITY MUNI13 0.000000 .129577 INFINITY MUNI14 1.000000 .129577 INFINITY
HT13 0.000000 0,000000 INFINITY HT14 1.950000 -16.488092 .017550
.UTIL12 0.000000 .419879 INFINITY UTIL13 0,000000 .495267 INFINITY UTIL14 1.370000 .397827 INFINITY
Y1B1 0.000000 INFINITY .382447 Y1B2 01000000 INFINITY .371199 Y1B3 0.000000 INFINITY .348702 Y1B4 0.000000 INFINITY .326205 Y1B5 0.000000 INFINITY .303708 Y1B6 0.000000 INFINITY .258714 Y1B7 0.000000 INFINITY .224969 Y1B8 01000000 INFINITY .191224 Y1B9 0.000000 INFINITY .134981
Y1B10 0.000000 INFINITY .078739 Y1B11 0.000000 INFINITY .033745 Y1B12 04-000000 -23.621908 -.517264 Y1B13 0.000000 .044994 INFINITY Y1B14 01000000 .056242 INFINITY
GROWTH24 1,400000 .071273 .011234 GROWTH34 1.150000 .015067 INFINITY
RE24 1.000000 .185090 INFINITY RE34 1.000000 .024444 INFINITY
BOND24 1.000000 .105031 INFINITY BOND34 1.000000 .059333 INFINITY TAXES3 -1.000000 -31+142857 -1.000000 MUNI24 10000000 .140825 INFINITY MUNI34 1.000000 .035511 INFINITY
EL24 1.000000 .009869 INFINITY EL34 1.000000 .044831 -23.186379 HT24 1.560000 .191894 INFINITY HT34 1.250000 .073289 INFINITY
UTIL24 1+230000 .447039 INFINITY
UTIL34 1.110000 .111333 INFINITY
CASH4 1.000000 -.968889 .017741
GROWTH23 00000000 .067200 INFINITY GROWTH 33 0.000000 • 078067 INFINITY
BONt'23 0.000000 .105031 INFINITY
0.000000 INFINITY 0.000000
.BONE'33 MUNI23 0.000000 .140825 INFINITY
MUNI33 0.000000 .045511 INFINITY
GOLD23 01000000 .409500 INFINITY GOLL'33 0.000000 .180756 INFINITY
MMK23 0.000000 .032403 INFINITY
MMK33 0.000000 -1,046400 .014378 UTIL23 0,000000 .550239 INFINITY
UTIL33 01000000 .163333 INFINITY TIN2 0.000000 INFINITY -.470880 TIP2 0,000000 -5.183631 -.470880
TIN3 01000000 INFINITY -.420000 TIP3 0.000000 -13.080000 -.420000
TAXES2 0+000000 -11.519179 -1.046400
Y2B1 0.000000 INFINITY .355776 Y2B2 0.000000 INFINITY .345312 Y2B3 0.000000 INFINITY +324384
Y2B4 0.000000 INFINITY .303456 Y2B5 01000000 INFINITY +282528 Y2B6 04,000000 INFINITY .240672
Y2B7 0.000000 INFINITY .209280 Y2BG 0.000000 INFINITY .177888 Y2B9 00000000 INFINITY .125566
Y2B1O 04-000000 INFINITY .073248 Y2B11 0.000000 INFINITY .031392 Y2B12 0+000000 -5.183631 -.470880 Y2B13 0.000000 .041856 INFINITY Y2B14 0.000000 .052320 INFINITY Y3B1 0+000000 INFINITY .310000 Y3B2 0.000000 INFINITY .300000
Y3B3 0.000000 INFINITY .280000 Y3B4 0.000000 INFINITY .260000
Y3B5 0.000000 INFINITY .240000 Y3B6 0.000000 INFINITY .200000 Y3B7 0.000000 INFINITY .170000
Y3B8 0,000000 INFINITY +140000 Y3B9 0.000000 INFINITY +090000
Y3B1O 0,000000 INFINITY .040000 Y3B11 0,000000 -13+080000 --4420000 Y3B12 0.000000 +030000 INFINITY Y3B13 00000000 .070000 INFINITY Y3B14 0.000000 0080000 INFINITY
TAXES1 0+000000 .013552 -1+149477 GROWTH22 0+000000 .148605 INFINITY
B0Nt122 0.000000 .082010 INFINITY MMK22 0+000000 .032403 INFINITY
UTIL22 0+000000 1-398954 INFINITY
LTCG2 0.000000 -14.312580 .038914 LTCG3 0,000000 .168000 9,554069
GOLL'22 0.000000 .190296 INFINITY MUNI22 04000000 4115778 INFINITY AMTI1 01000000 -23+621908 -.517264
W AMTPOS1 0.000000 .018872 -2.069058 AMTNE61 0,000000 INFINITY -1.124845 REGTAX1 0+000000 -52,493129 -1.149477
AMT12 0.000000 -4.748874 -.470880 AMT13 0,000000 -13.080000 -.420000
AMTPOS2 0.000000 -22.373116 -1.883520 AMTNE62 00000000 INFINITY -1.046400 REGTAX2 0.000000 -11.519179 -1,046400 AMTPOS3 0.000000 -59.454545 -1.909091 AMTNEG3 0.000000 INFINITY -1.000000
0.000000 -31.142857 -1.000000
• REGTAX3REII14 1,000000 .021433 INFINITY RE1124 1.000000 .039850 -20,610115 RE1134 .500000 .281225 .024444
RESOP11 01000000 .581161 INFINITY RESOP12 0.000000 .237014 INFINITY RESOP13 0.000000 10.418290 INFINITY RESOP14 4,400000 1.584690 INFINITY RESOP22 0,000000 INFINITY .237014 RESOP23 0.000000 10,509476 INFINITY RESOP24 4.400000 1.894276 INFINITY
RESOP33 0.000000 9,385795 INFINITY RE SO P34 4.400000 .823128 INFINITY
IESOP 0.000000 4.771811 INFINITY IESOP12 0.000000 INFINITY .175164 IESOP13 0.000000 10.116149 INFINITY IESOP14 4.400000 .744949 INFINITY IESOP22 0.000000 .780036 INFINITY 1E80P23 0.000000 9.926552 INFINITY IESOP24 4,400000 .555352 INFINITY IESOP33 01000000 10.165831 INFINITY 1E80P34 4.400000 .175164 INFINITY IESOP11 0.000000 3,291431 INFINITY
RIGHTHAND SIDE RANGES ROW CURRENT ALLOWABLE ALLOWABLE
. RHS INCREASE DECREASE 2 0.000000 90.523609 INFINITY 3 95.600000 15.815288 6.716406 4 100.000000 2.895003 14.609073 5 0.000000 17.325069 3.022383 6 01000000 6.716406 15.815288 7 00000000 INFINITY 157.353102 8 0.000000 95,763975 INFINITY 9 0.000000 81.893909 INFINITY
10 0.000000 100.769230 3.826139 11 0.000000 INFINITY 14.937741 12 0.000000 8.502531 10.236025 13 0.000000 25.293909 +306091 14 95.600000 10.236025 8.502531 15 95,600000 .306091 25.293909 16 0.000000 25.590061 21.256327 17 0.000000 .765228 0.000000 18 -50,000000 17.325069 3.022383 19 -50.000000 100.769230 3.826139 20 25.000000 INFINITY 2.154167 21 35.000000 INFINITY 2.154167 22 50.000000 INFINITY 27.154167 23 25.000000 14-504651 2.828727 24 35.000000 1.541323 8.621639 25 50.000000 INFINITY 25.000000 26 25.000000 1.776739 9.168842 27 35.000000 INFINITY 10.000000 28 50.000000 INFINITY 22.754075 29 25.000000 INFINITY 18.776666 30 35.000000 .173988 3.397147 31 50.000000 2.021333 .187148
C
:LOOK ROW:
.> ALL
0
32 25000000 INFINITY 17.020009 33 35.000000 INFINITY 35.000000 34 50.000000 INFINITY 50.000000 35 30,000000 .947495 14523938 36 40.000000 .525094 1.961973 37 45.000000 10.239334 .344352 38 20.000000 INFINITY 17,845833 39 20.000000 INFINITY 17,845833 40 20.000000 INFINITY 17.845833 41 30.000000 7.686465 5.020789 42 35.000000 INFINITY 12.979991 43 40.000000 100.769230 40.000000 44 -36,600000 59.904511 88.423609 45 0,000000 INFINITY 11,980902 46 0,000000 17.325069 3.022383 47 -36,600000 56.509676 103.609269 48 -36.600000 74.688707 54.268501 49 0.000000 INFINITY 11.301935 50 0.000000 INFINITY 14,937741 51 10.000000 1.732017 3,166933 52 10.000000 2.876639 1.685479 53 0.000000 100,769230 3.826139 54 0.000000 INFINITY 25,791442 55 0.000000 INFINITY 0.000000
0
0 V. POSSIBLE ENHANCEMENTS
First and most importantly this model could be greatly improved
through more simulation time. This would only be possible with
a better software package. More simulation time is necessary to
fine tune the risk constraints. Once it had sufficient
'laboratory' testing, its real value could only be discovered
through field testing of the model. In order to make that
practical you would have to develop a front-end program that
would make it easier to change the client and investment
portfolio input information. With this program you could easily
expand the number of choices in your investment portfolio.
0One serious drawback to the current model is the fact that the
investment amounts can be any fraction of a thousand dollars.
This is unrealistic and therefore an integer programming
formulation may be necessary.
0
.
APPENDIX A
A LISTING OF THE MODEL
.
.
0
,PPFND/,( ,4
MAX 1.64 GROWTH14 + 1.04 RE14 + 1.04 BONt'14 + EL14 + MUNI14 + 1,95 HT14 + 1.37 UTIL14 + 1.4 GROWTH24 + 1.15 GROWTH34 + RE24 + RE34 + BONtI24 + BONtI34 - TAXES3 + MUNI24 + MUNI34 + EL24 + EL34 + 1.56 HT24 + 1.25 HT34 + 1.23 UTIL24 + 1.11 UTIL34
W + CAS114 + REII14 + RE1124 + 0.5 RE1134 SUBJECT TO
2) TIP1 :::.= 0 3) TIN1 + TIP1 0,15 GROWTH11 -- 0,15 GROWTH12 0.15 6R0L4TH13
- 0,15 GROWTH14 + 0.3 RE13 + 0.3 RE14 - 0.12 BOND11 - 0.08 BOND12 - 0.08 BONtI13 - 0.08 BOND14 + 0.32 EL14 - 0.08 MMK11 - 0,08 MMK12 - 0.08 MMK13 - 0.1 UTIL11 + 2 REII14 = 95,6
4) GROWTH11 + GROWTH12 + GROWTH13 + GROWTH14 + RE13 + RE14 + BOND11 + BONtI12 + BOND13 + BOND14 + EL14 + MMK11 + MMK12 + MMK13 + UTIL11 + MUNI11 + MUNI12 + MUNI13 + MUNI14 + HT14 + UTIL12 + UTIL13 + UTIL14 + REII14 = 100
5) - 0.11 Y1B1 0.12 Y1B2 0.14 Y1B3 0.16 Y1B4 - 0.18 Y1B5 - 0.22 Y1B6 - 0.25 Y1B7 0,28 Y1B8 -- 0,33 Y1B9 - 0.38 Y1B10 - 0.42 Y1B11 - 0.45 Y1B12 - 0.49 Y1B13 - 0.5 Y1B14 + REGTAX1 = 0
6) TIP1 - Y1B1 - Y1B2 - Y1B3 - Y1B4 - Y1B5 Y1B6 - Y1B7 - Y1B8 - Y1B9 - Y1B10 Y1B11 -. 11B12 - Y1B13 - Y1B14 = 0
7) - 1.64 GROWTH13 1.18 RE13 - 0.18 RE14 - 1.12 BOND13 0,08 BOND14 - 0.16 EL14 1.08 MMK13 - 1.09 MUNI13
- 0,09 MUNI14 - 1.37 UTIL13 - 0.16 RE24 - 0.15 RE34 0.08 BOND24 - 0,08 BONEI34 0.09 MUNI24 - 0,09 MUNI34 0,14 EL24 - 0.09 EL34 + CASH4 - 1.4 GROWTH23 - 1,15 GROWTH33
- 1.08 BOND23 - 1.08 BOND33 - 1.09 MUNI23 - 1.08 MUNI33 - 1.3 60LD23 - 1.1 GOLD33 - 1.08 MMK23 - 1.08 MMK33
1.22 UTIL23 - 1,1 UTIL33 = 0 8) TIP2 :::.= 0 9) TIP3 >= 0
10) - 0.11 Y2B1 - 0.12 Y2B2 - 0.14 Y2B3 - 0.16 Y2B4 - 0,18 Y2B5 - 0.22 Y2B6 - 0.25 Y2B7 - 0.28 Y2B8 0.33 Y2B9 - 0.38 Y2B10 - 0.42 Y2B11 - 0,45 Y2B12 0.49 Y2B13 - 0.5 Y2B14 + REGTAX2 = 0
11) - 0.11 Y3B1 - 0.12 Y3B2 - 0.14 Y3B3 - 0.16 Y3B4 - 0.18 Y3B5 - 0.22 Y3B6 - 0.25 Y3B7 - 0.28 Y3B8 0.33 Y3B9 - 0.38 Y3B10 - 0.42 Y3B11 0.45 Y3B12 -. 0.49 Y3B13 - 0,5 Y3B14 + REGTAX3 = 0
12) TIP2 - Y2B1 - Y2B2 - Y2B3 - Y2B4 - Y2B5 - Y2B6 - Y2B7 - 12B8 - Y2B9 - Y2B10 - Y2811 - Y2B12 - Y2B13 Y2B14 = 0
13) TIP3 - Y3B1 - Y3B2 - Y3B3 - Y3B4 - Y3B5 - Y3B6 Y3B7 - Y3B8 - Y3B9 - Y3B1O - Y3B11 - Y3B12 - Y3B13 - Y3B14 = 0
14) 0.04 RE13 + 0.04 RE14 - 0.08 BOND12 - 0.08 BONtI13 - 0+08 BOND14 + 0.3 EL14 - 0.08 MMK12 - 0,08 MMK13 - 0,22 UTIL12
0,3 RE24 - 0.08 BOND24 + 0.32 EL24 - 0.08 BOND23 - 0.08 MMK23 TIN2 + TIP2 - 0.15 GROWTH22 - 0,12 BOND22 - 0.08 MMK22
- 0.1 UTIL22 - 0,4 LTC62 + 2 RE1124 = 95.6 15) 0,04 RE13 + 0.04 RE14 - 0,08 BOND13 - 0.08 BOND14 - 0.24 EL14
- 0.08 MMK13 - 0.14 UTIL13 + 0.04 RE24 + 0.3 RE34 - 0.08 BOND24 - 0,08 BOND34 + 0.3 EL24 + 0.32 EL34 - 0.15 GROWTH33
V
- 0.08 BOND23 - 0.08 BOND33 - 0.08 MMK23 --0.08 MMK33 - 0,22 UTIL23 - 0.1 UTIL33 e TIN3 + TIP3 - 0.4 LTCG3 + 2 RE1134 = 95.6
16) - 0.4 6ROWTH12 - 0.08 BONE'12 + LTC62 - 0.18 60LB22 = 0 17) 0+64 GROWTH13 - 0,1 RE13 - 0.04 BONt'13 - 04-23 UTIL13
- 0,4 GROWTH23 - 0.6 GOLtI23 - 0.1 GOLE'33 + LTCG3 = 0 18) 1.15 GROWIH11 + 0.15 RE13 + 0.15 RE14 + 1.12 BONtI11
+ 0,08 BONL'12 + 0.08 BONt'13 + 0.08 BONtI14 + 0.09 EL14 + 1.08 MMK11 + 0.08 MMK12 + 0.08 MMK13 + 1.1 UTIL11 + 1,08 MIJNI11 + 0.09 MUNI12 + 0.09 MUNI13 + 0.09 MUNI14
.- GROWTH24 - RE24 - BONtI24 - MUNI24 -- EL24 - HT24 - UTIL24 - GROWTH23 BOME'23 - MUNI23 - GOLD23 - MMK23 - UTIL23 - TAXES1 - GROWTH22 - BONtI22 - MMK22 - UTIL22 - GOLtI22 - MUNI22 - RE1124 = - 50
19) 1,4 GROWTH12 + 0.16 RE13 + 01-16 RE14 + 1.16 BOND12 + 0.08 BOND13 + 0408 BONLI14 + 0.14 EL14 + 1.08 MHK12 + 0.08 MMK13 + 1.09 MUNI12 + 0.09 MUNI13 + 0.09 MUNI14 + 1.22 UTIL12 - GROWTH34 + 0,15 RE24 - RE34 + 0.08 BONt!24 - BONt'34 + 0.09 MUNI24 - MUNI34 + 0.09 EL24 - EL34 - HT34 - UTIL34 GROWTH33 + 0.08 BOND23 - BONtI33 + 0.09 tIUNI23
MUNI33 - GOLL'33 + 0.08 MMK23 - Mt1K33 - UTIL33 - TAXES2 + 1.15 GROWTH22 + 1.12 B0Nt122 + 1+08 MMK22 + 101 UTIL22 + 1.18 GOLtI22 + 1.08 MUNI22 - RE1134 - 50
20> GROWTH11 + GROWTH12 + GROWTH13 + GROWTH14 <= 25 21) GROWTH12 + GROWTH13 + GROWTH14 + GROWTH24 + GROWTH23
+ GROWTH22 35 22) GROWTH13 + GROWTH14 + GROWTH24 + GROWTH34 + GROWTH23
+ GROWTH33 <= 50 23) GROWTH11 + GROWTH12 + GROWT1113 + GROWTH14 + HT14 <= 25 24) GROWTH12 + GROWTH13 + GROWTH14 + HT14 + GROWTH24 + HT24
+ GROWTH23 + GROWTH22 <= 35 25) GROWTH13 + GROWTH14 + HT14 + GROWTH24 + GROWTH34 + HT24
+ HT34 + GROWTH23 + GROWTH33 <= 50 26) EL14 <= 25 27) EL14 + EL24 ::= 35 28) EL14 + EL24 + EL34 <= 50
•29) RE13 + RE14 + UTIL11 + UTIL12 + UTIL13 + UTIL.14 + REII14 25
30) RE13 + RE14 + UTIL12 + UTIL13 + UTIL14 + RE24 + UTIL24 + UTIL23 + UTIL22 + REII14 + RE1124 <= 35
31) RE13 + RE14 + UTI.L13 + UTIL14 + RE24 + RE34 + UTIL24 + UTIL34 + UTIL23 + UTIL33 + REII14 + RE1124 + RE1134
50 32) UTIL11 + MUNI11 + MUNI12 + MUNI13 + MUNI14 + UTIL12
+ UTIL13 + UTIL14 <= 25 33) MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14
+ MUNI24 + UTIL24 + tIUNI23 + UTIL23 + UT1L22 + MUNI22 35
34) MUNI13 + MUNI14 + UTIL13 + UTIL14 + MUNI24 + MUNI34 + UTIL24 + UTIL34 + MUNI23 + MUNI33 + UTIL23 + UTIL33 <= 50
35) 0.3 GROWTH11 + 0.3 GROWTH12 + 0.3 GROWTH13 + 0.3 GROWTH14 + 0.4 RE13 + 0.4 RE14 + 0.15 BOND11 + 0.15 BONtI12 + 0.15 BONtI13 + 0.15 BONt!14 + 0.45 EL14 + 0.2 UTIL11 + 0.2 MUNI11 + 0.2 MUNI12 + 0.2 MUNI13 + 0.2 MUNI14 + 0.7 HT14 + 0.2 UTIL12 + 0.2 UTIL13 + 0.2 UTIL14 + 0.5 REII14 <= 30
36) 0.3 GROWTH12 + 0.3 GROWTH13 + 0.3 GROWTH14 + 01-15 BONt'13 + 0.15 BOND14 + 0.45 EL14 + 0.25 MUNI12 + 0.25 MUNI13 + 0.25 MUNI14 + 0.7 HT14 + 0.2 UTIL12 + 0.2 UTIL13 + 0.2 UTIL14 + 0.3 GROWTH24 + 0.15 BONB24 + 0.25 MUNI24 + 0.45 EL24 + 0.7 HT24 + 0.2 UTIL24 + 0.3 GROWTH23 + 0.15 BONLI23 + 0.25 MUNI23 + 0.55 60LB23 + 0.2 UTIL23 + 0.3 OROWTH22
V + 0.15 BOND22 + 0,2 UTIL22 + 0.55 GOLt'22 + 0.25 MUNI22 + 0,5 REII14 + 0.5 RE1124 <= 40
37) 0+3 GROWTH13 + 0.3 GROWTH14 + 0.4 RE13 + 0.4 RE14 + 0.15 BONtI13 + 0.45 EL14 + 0.2 MUNI13 + 0.2 MUNI14 + 0.7 HT14 + 0.2 UTIL13 + 0.2 UTIL14 + 0.3 GROWTH24 + 0.3 GROWTH34
+ 0.4 RE24 + 0.4 RE34 + 0.15 BONL'34 + 0.2 MUNI24 + 0,2 MUNI34 + 0.45 EL24 + 0.45 EL34 + 0,7 HT24 + 0,7 HT34 + 0.2 UTIL24 + 0.2 UTIL34 + 0,3 GROWTH23 + 0.3 GROWTH33 + 0.2 MUNI23 + 0.2 MUNI33 + 0.55 GOLL'23 + 0.55 60LB33 + 0.2 UTIL23 + 0.2 UTIL33 + 0.5 REII14 + 0.5 RE1124 + 0.5 RE1134 45
.38)HT13 + H114 20 39) HT13 + HT14 + HT24 20 40) HT13 + HT14 + HT24 + HT34 20 41) BONLI11 4 BONB12 + BONL'13 + BONLI14 + UTIL11 + MUNI11
+ MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14 30
42) BOND12 + BOND13 + BONB14 + MUNI12 + MUNI13 + MUNI14 + UTIL12 + UTIL13 + UTIL14 + B0Nt124 + UTIL24 + B0NL123 + UTIL23 + BONL'22 + UTIL22 35
43) BOND13 + BOND14 + MUNI13 + MUNI14 + UTIL13 + UTIL14 + B0NB24 + BONtI34 '+ MUNI24 + MUNI34 + UTIL24 + UTIL34 + BONL'23 + B0N1133 + MUNI23 + MUNI33 + UTIL23 + UTIL33 <= 40
44) - TIP1 - 0,1 EL14 + AMTI1 - 0.5 REII14 36.6 45) 0.2 AMTI1 è- AMPOS1 + AMTNEG1 REGTAX1 = 0 46) TAXES1 + AMT41 REGTAX1 = 0 47) - 0.08 EL14 - 0.1 EL24 - TIP2 - 0.6 LTCG2 + AMTI2 - 0.5 RE1124
- 36.6 48) - 0,05 EL14 - 0.08 EL24 - 0.1 EL34 - TIP3 - 0.6 LTCG3 + AMTI3
- 0,5 RE1134 = - 36.6 49) 0.2 AMTI2 41 -AMTPOS2 + AMTNEG2 - REGTAX2 0 50) 0.2 AMTI3 - AMI0S3 + AMTNEG3 - REGTAX3 0 51) TAXES2 *-AMTNt2 - REGTAX2 = 0 52) TAXES3 é-AMTN3 -- REGTAX3 0 53) = 0?
END
.BTIN1 0.00X
B Y1B1 2.10
SUB Y1B2 2.10
SUB Y1B3 4.30
SUB Y1B4 4.10
SUB Y1B5 4.20
SUB Y1B6 4.40
SUB Y1B7 5.30
SUB Y1B8 5.30
SUB Y1B9 10,60
SUB Y1B1O 14.20
SUB Y1B11 25.60
SUB Y1B12 23.80
SUB Y1B13 53.00
SUB TIN2 0.00
SUB TIN3 0.00
SUB Y2B1 2.10
SUB Y2B2 2.10
SUB Y2B3 4.30
SUB Y2B4 4.10
SUB Y2B5 4,20
SUB Y2B6 4.40
SUB Y2B7 5.30
SUB Y2B8 5.30
SUB Y2B9 10.60
,B Y2B1O 14.20
B Y2B11 25.60
SUB Y2B12 23.80
SUB Y2B13 53.00
SUB Y3B1 2.10
SUB Y3B2 2.10
Y3B3 4.30 Y3B4 4,10 Y3BS 4.20 Y3B6 4.40 Y3B7 5.30 Y3B8 5.30 Y3B9 10.60
Y3B1O 14.20 Y3B11 25,60 Y3B12 23.80 Y3B13 53.00
AMTNEG1 0,00 AMTNEG2 0.00 AMTNEG3 0.00
APPENDIX B
THE INVESTMENT PORTFOLIO PROJECTIONS
.
0141A
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