Pricing in the Government Bond Market

P. R. Chandy and Prakash Kharabe
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P. R. Chandy: Finance Department, College of Business, North Texas State University, Denton, Texas 76203
Prakash Kharabe: AT&T Communications, 20-5B Cassidy Road, Budd Lake, New Jersey 07828

Interfaces, 1986, vol. 16, issue 5, 65-71

Abstract: To develop the framework for an LP model to help treasury dealers make better investment decisions, we replicated and extended the pioneering work of Yawitz, Hempel, and Marshall [Yawitz, J. B., G. Hempel, W. J. Marshall. 1976. A risk-return approach to the selection of optimal governmental bond portfolios. Financial Management 5 (3, Autumn) 36--45.] through the year 1982 and developed an LP model and break-even yield analysis. A test of the model’s capability to identify underpriced and overpriced securities proved it useful.

Keywords: finance: investment criteria; programming: linear (search for similar items in EconPapers)
Date: 1986
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