Finco has the following investments available.
Investment A For each dollar invested at time 0. we receive $0.10 at time 1 and $1.30 at time 2. (Time 0 = now, time 1 = one year from now; and so on.)
Investment B For each dollar invested at time 1, we receive $1.60 at time 2.
Investment C For each dollar invested at time 2, we receive $1.20 at time 3.
At any time, leftover cash may be invested in T-bills, which pay 10% per year. At time 0, we have $100. At most, $50 can be invested in each of investments A, B, and C. Formulate an LP that can be used to maximize Finco’s cash on hand at time 3.
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