The Investment Problem of PP
Step 3: Identify the Constraints
Min/Max Investment Constraints ( )
Words: Total fraction invested in high risk should be between 50%
and 75%.
Decompose: Total fraction invested in high risk =
Fraction from Fund 1 + Fraction from Fund 2 + Fraction from Fund 3
Mathematics: (high risk min/max)
Advantage of Grouping: Other constraints in the group have the
same form:
(medium risk min/max)
(low risk min/max)