A New Linear Programming Approach to Bond Portfolio Management
提出一种新的线性规划方法，通过利用不同税收等级下债券的定价差异，同时优化税收特定的债券组合并推导出美国国债的税后即期利率期限结构。
This paper derives and tests a new linear programming (LP) approach to bond portfolio management. The model elicits possible tax-clientele effects in the pricing of U.S. Gov? ernment coupon bonds and simultaneously derives the optimal tax-specific bond portfolio. Analytically, the model derives these results by exploiting, for a given tax bracket, the price differential of an after-tax stream of cash flows. It accomplishes this objective by purchasing at the ask price underprieed bonds (for the specific tax bracket), while sim? ultaneously selling at the bid price overpriced bonds. The model requires that the net cash flow, inclusive of purchased and sold bonds, be nonnegative at all future dates; the problem's formulation standardizes the position taken in each bond to a maximum of one unit. One of the model's appealing features is the parsimonious number of required calcu? lations: only one LP program need be run per tax bracket. In addition to obtaining an optimally chosen tax-specific bond portfolio, the model also measures the after-tax term structure of spot U.S. Government interest rates for both tax-exempt and taxable investors. Finally, the superior monthly holding-period rates of return on the optimal taxspecific bond portfolio demonstrate an important property ofthe model's output.