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A New Linear Programming Approach to Bond Portfolio Management: A Comment

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  • Ehrhardt, Michael C.

Abstract

An analysis of the dual problem described by Ronn (1987) reveals that it provides a powerful and easily interpretable test for the hypothesis of a single class of marginal investors, including models of equilibrium based on a “representative tax bracket.†When Ronn's empirical tests are interpreted via the dual, they lend additional support to his conclusions in providing a strong rejection of the representative tax bracket hypothesis. A valid dual LP used to test the hypothesis can be obtained with fewer assumptions than Ronn's primal; in addition, a minor error in Ronn's presentation of the dual is corrected.

Suggested Citation

  • Ehrhardt, Michael C., 1989. "A New Linear Programming Approach to Bond Portfolio Management: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 533-537, December.
    • Handle: RePEc:cup:jfinqa:v:24:y:1989:i:04:p:533-537_01
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