A New Linear Programming Approach to Bond Portfolio Management: A Comment
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.
Year of publication: |
1989
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Authors: | Ehrhardt, Michael C. |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 24.1989, 04, p. 533-537
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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