April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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A maximization example with linear programming
Suppose that we are interested in investing in two securities, X and Y. We would like to find out the actual number of units to invest for every three units of the security X and two units of the security Y, such that the total number of units invested is maximized, where possible. However, there are certain constraints on our investment strategy:
- For every 2 units of the security X invested and 1 unit of the security Y invested, the total volume must not exceed 100
- For every unit of the securities X and Y invested, the total volume must not exceed 80
- The total volume allowed to invest in the security X must not exceed 40
- Short-selling is not allowed for securities
The maximization problem ...