Municipal Bond Coupon Schedules with Limitations on the Number of Coupons

H. Martin Weingartner
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H. Martin Weingartner: University of Rochester

Management Science, 1972, vol. 19, issue 4-Part-1, 369-378

Abstract: The optimum coupon schedule for serial bonds issued by municipalities has been solved as a knapsack problem, and is widely implemented in bank and nonbank underwriting firms. A large subset of issues carries the additional requirement that limits the number of distinct coupons which the underwriters may assign to the issue. The paper formulates this problem as a dynamic programming model and discusses the computational aspects relating to this formulation by comparing it with a direct 0/1 integer programming model. Some computational experience is also provided.

Date: 1972
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:19:y:1972:i:4-part-1:p:369-378

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