The relation between coherent risk measures, valuation bounds, and certain classes of
portfolio optimization problems is established. One of the key results is that coherent risk …

Despite a substantial empirical literature which has developed on the term structure of
interest rates, 1 relatively little attention has been paid to the problem of obtaining reliable …

This paper develops a new methods for measuring tax effects in bond markets and presents
empirical results for British Government Securities. The basic idea is to construct a least cost …

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 US …

OR techniques are applied to nonportfolio problems in financial markets, such as the equity,
debt, and foreign exchange markets and the corresponding derivatives markets. Finance …

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 …

The usual notion of every future cash stream having a net present value determined from a
single term structure breaks down when transaction costs are taken into account, especially …

Taxes have a first-order effect on investors' trading decisions and portfolio choices and on
the equilibrium pricing of assets. In this review, we investigate how certain features of the tax …

This paper proposes a methodology for simultaneously computing a smooth estimator of the
term structure of interest rates and economically justified bounds for it. It unifies existing …

In this paper, we examine leasing as a tax‐arbitrage instrument. Analysis of a sample of UK
leases presented in this paper suggests that lessors earn large positive NPVs. Our …