I have been trying to rack my head round this question but I don't know how to start or even attempt to answer it. I know that the constraints that are given and the decision variables which are,
- $ci$ is the convexity
- $mi$ is the modified duration
- $xi$ is the investment proportion allocated
- $d$ is the desired modification of the portfolio
I subbed in the values from the table into the objective function and into the constraints which gave me:
$ maximise, 10.168X(A) + 38.942X(B) + 100.323X(C)$
subject to,
$ 2.71X(A) + 5.48X(B) + 8.88X(C) = 5.91 $
$X(A)+X(B)+X(C)=1$
I believe the way I have worked this out from the data given from the link should allow me to solve the bond portfolio but I'm not sure how to find it given the barbell portfolio.