Minimizing Net Interest Cost in Municipal Bond Bidding

Robert M. Nauss and B. R. Keeler
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Robert M. Nauss: University of Missouri---St. Louis
B. R. Keeler: Copaquen Associates, Inc., New York

Management Science, 1981, vol. 27, issue 4, 365-376

Abstract: The problem of minimizing net interest cost (NIC) on new issues of tax-exempt debt securities is formulated as an integer linear programming problem. The formulation (for one variant) is a p-median problem with one additional constraint. Other variants are also closely related to the p-median problem. A dual ascent procedure for solving this problem class is presented and is incorporated in a branch and bound algorithm. Computational results are presented for a number of real world problems.

Keywords: finance; securities; integer programming (search for similar items in EconPapers)
Date: 1981
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:27:y:1981:i:4:p:365-376

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