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

Published online by Cambridge University Press:  06 April 2009

Michael C. Ehrhardt
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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.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 4 , December 1989, pp. 533 - 537
Copyright
Copyright © School of Business Administration, University of Washington 1989

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References

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