We investigate the long-standing puzzle on the underpricings of convertible bonds. We hypothesize that the observed underpricing is induced by the possibility that a convertible bond might renegotiate on some of its covenants, e.g., an imbedded put option in financial difficulties. Consistent...

Banking has been a fertile area for management science applications, as is evident from the review provided in this paper. The relevant management science models are discussed in terms of the areas of bank management for which they were intended. Under dynamic balance sheet management (i.e.,...

Once they have observed information, hindsight-biased agents fail to remember how ignorant they were initially; "they knew it all along." We formulate a theoretical model of this bias, providing a foundation for empirical measures and implying that hindsight-biased agents learning about...

The problem of minimizing net interest cost (NIC) on new issues of tax-exempt debt securities is formulated as an integer linear programming problem. The formulation (for one variant) is a p-median problem with one additional constraint. Other variants are also closely related to the p-median...

Linear programming is applied to measurement of whole life insurance to obtain a functional relationship between interest adjusted cost of insurance protection and rate of return on policy equity. For comparative purposes, policy differences related to premium rates, dividends and cash-values...

A multiple-objective decision model to structure tax-exempt serial revenue bonds is presented in this paper. Based on goals dealing with true interest cost, marketability, debt coverage, production, and level debt, we define a goal programming model to generate a maturity schedule and coupon...

This paper describes a practical algorithm for large-scale mean-variance portfolio optimization. The emphasis is on developing an efficient computational approach applicable to the broad range of portfolio models employed by the investment community. What distinguishes these from the "usual"...

Over $47 billion of tax exempt debt issues were sold to the public in 1982. A portion of this total was offered to municipal bond underwriters under a competitive bidding system using the criterion of minimum true interest cost (internal rate of return). The TIC bidding problem may be formulated...

The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable restrictions on the variance-covariance matrix of returns, it is possible to simplify the solution of the problem. Specifically if the...