Journal of Financial and Quantitative Analysis Vol. 24 No. 4 1989
A New Linear Programming Approach to Bond Portfolio Management: A Comment
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.
- DOI
- 10.2307/2330985
- Volume
- 24
- Issue
- 4
- Pages
- 533
- Sources
- crossref openalex