Optimization techniques have been used to find an optimal investment portfolio for a Firm. This portfolio consists of both the investment and financial risks. The objective of this paper is to find the level of investments in selected portfolios that gives maximum returns with minimal inputs for the firm based on the data supplied in a particular firm. Sensitive analyses were carried out to ascertain the robustness or otherwise of the resulting model towards the slight changes in the input parameters and it’s values which aimed at determining how redundant a constraint was to the solution of the linear programming problem using Simplex Algorithm which resulting in to linear programming problems.. The model gives a single objective model that maximizes return on the portfolio.
Keywords: Optimization, investment, portfolio, linear programming, sensitivity