Elton, Edwin J.; Gruber, Martin J.; Rentzler, Joel C. - In: Management Science 31 (1985) 3, pp. 293-300
The purpose of this article is to formulate and test a decision model to increase the return on a pool of liquid assets through the use of Treasury bill futures contracts. Recent literature has documented inefficiencies in the pricing of T-bill futures. These inefficiencies can be exploited to...