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| Author: | Ronn, E. I. |
| Title: | A new linear programming approach to bond portfolio management. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : DEC, VOL. 22:4, p. 439-466 |
| Index terms: | LINEAR PROGRAMMING GOVERNMENT BONDS PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | The author derives and tests a new linear programming (LP) approach to bond portfolio management. The model highlights possible tax-clientele effects in the pricing of U.S. Govt. coupon bonds and at the same time derives the optimal tax-specific bond portfolio. The model requires that the net cash flow be nonnegative at all future dates, the model assumes that the position taken in each bond is at most one unit. We obtain an optimally chosen tax-specific bond-portfolio, and we measure the after-tax term structure of spot US. Govt. interest rates for both tax-exempt and taxable investors. |
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