In a previous post I included a problem definition and an example. Upon reviewing the post, I discovered that not only were both the problem definition and the example incorrect, they were inconsistent. In this post I aim to correct the problem definition and then reimplement the example with the new problem definition. Part 1: Correct the Problem Definition Let's start with a recap of the problem we are trying to solve. Note that I altered the problem definition a bit to correct two major issues: The constraint in the original problem definition was not in terms of the givens. The requirement is that the expression we optimize must be expressible entirely in the terms we are given. A previous definition omitted the payouts and the potential economic scenarios, both of which are referenced in our constraint equation. Optimization was not with respect to the correct property. The original expression I defined was optimizing payout minus the cost of the portfolio. But we are not o...