Pricing in the Government Bond Market
Published Online:1 Oct 1986https://doi.org/10.1287/inte.16.5.65
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 Management5(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.
