Optimal currency conversion

Assignment Help Operation Management

Reference no: EM132262501

(Optimal currency conversion.) Suppose that there are N available currencies, and assume that one unit of currency i can be exchanged for rij units of currency j. (Naturally, we assume that rij > 0.) There are also certain regulations that impose a limit ui on the total amount of currency i that can be exchanged on any given day. Suppose that we start with B units of currency 1 and that we would like to maximize the number of units of currency N that we end up with at the end of the day, through a sequence of currency transactions. Provide a linear programming formulation of this problem. Assume that for any sequence i1, . . . , ik of currencies, we have ri1i2 ri2i3 · · · rik−1ik riki1 ≤ 1, which means that wealth cannot be multiplied by going through a cycle of currencies. (Hint: consider the cases where N is a small number, say 3 or 4, a and then generalize to an arbitrary N.)

Reference no: EM132262501

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