1. Microsoft Excel 12.0 Sensitivity Report
Worksheet: [Book1]Sheet1
Report Created: 05/14/09 11:24:00 PM
Adjustable Cells
Final Reduced
Cell Name Value Gradient
$A$9 Wa 0.805511346 0
$B$9 Wb 0.268565912 0
$C$9 Wc 1.077058762 0
Constraints
Final Lagrange
Cell Name Value Multiplier
$B$3 A 16.2 0
$B$4 B 24.6 0
$B$5 C 22.8 0
$D$3 AA 146 0
$E$4 BB 854 0
$F$5 CC 289 0
$D$4 BA 187 0
$D$5 CA 145 0
$E$5 CB 104 0

2. Microsoft Excel 12.0 Answer Report
Worksheet: [Book1]Sheet1
Report Created: 05/14/09 11:30:07 PM
Target Cell (Value Of)
Cell Name Original Value Final Value
$F$10 utility 0 22.10647
Adjustable Cells
Cell Name Original Value Final Value
$D$10 Port Return 0 22.10647
$E$10 Port Risk 0 0
Constraints
Cell Name Cell Value Formula Status Slack
$E$10 Port Risk 0 $E$10>=0 Binding 0
$D$10 Port Return 22.10647 $D$10>=0 Not Binding 22.10647

3. Microsoft Excel 12.0 Limits Report
Worksheet: [Book1]Limits Report 1
Report Created: 05/14/09 11:42:42 PM
Target
Cell Name Value
$F$12 utility 16.88090909
Adjustable Lower Target Upper Target
Cell Name Value Limit Result Limit Result
$A$12 Wa 0 0 16.88090909 0 16.88090909
$B$12 Wb 0.236363637 0.236363637 16.88090909 0.236363637 16.88090909
$C$12 Wc 0.763636363 0.763636363 16.88090909 0.763636363 16.88090909

4. Variance Covariance Matrix
E(R)Matrix A B C
A 16.2 A 146 187 145
B 24.6 B 187 854 104
C 22.8 C 145 104 289
Total
Wa Wb Wc Port ReturnPort Risk utility
0.805511 0.268566 1.077059 44.21295 884.258889 22.10647 2.151136
22.10647 0 22.10647
0 0 0
0 0.236364 0.763636 23.22545 253.781818 16.88091 1
0.182189 0.060744 0.243607 10 45.23562 8.86911 0.48654
0.805511 0.268566 1.077059 44.21295 884.258889 22.10647 2.151136