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True Interest Cost in Municipal Bond Bidding: An Integer Programming Approach

Author

Listed:
  • Robert M. Nauss

    (School of Business Administration, University of Missouri---St. Louis, St. Louis, Missouri 63121-4499)

Abstract

Over $47 billion of tax exempt debt issues were sold to the public in 1982. A portion of this total was offered to municipal bond underwriters under a competitive bidding system using the criterion of minimum true interest cost (internal rate of return). The TIC bidding problem may be formulated as a nonlinear integer program. We develop a linearization which is embedded in a special purpose integer linear branch and bound algorithm. Computational results for several actual bidding problems are presented.

Suggested Citation

  • Robert M. Nauss, 1986. "True Interest Cost in Municipal Bond Bidding: An Integer Programming Approach," Management Science, INFORMS, vol. 32(7), pages 870-877, July.
    • Handle: RePEc:inm:ormnsc:v:32:y:1986:i:7:p:870-877
    DOI: 10.1287/mnsc.32.7.870
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    Cited by:

    1. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.

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