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Pricing in the Government Bond Market

Author

Listed:
  • 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)

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.

Suggested Citation

  • P. R. Chandy & Prakash Kharabe, 1986. "Pricing in the Government Bond Market," Interfaces, INFORMS, vol. 16(5), pages 65-71, October.
    • Handle: RePEc:inm:orinte:v:16:y:1986:i:5:p:65-71
    DOI: 10.1287/inte.16.5.65
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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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