Do Health Care Investments Hedge Health Care Liabilities?

Posted: 29 Nov 2007

See all articles by William W. Jennings

William W. Jennings

U.S. Air Force Academy - Department of Management

Steve P. Fraser

Florida Gulf Coast University

Brian C. Payne

University of Nebraska at Lincoln - Department of Finance; US Air Force Academy

Date Written: November 2007

Abstract

We examine whether health care equity investments hedge health care liabilities. In contrast with conventional wisdom, we find them uncorrelated and, thus, poor hedges.

Keywords: portfolio choice, mean-variance optimization, asset allocation, pension, liability-driven investment, non-profit investment, health-care financing

JEL Classification: G11, G23, I10, L30

Suggested Citation

Jennings, William W. and Fraser, Steve P. and Payne, Brian C. and Payne, Brian C., Do Health Care Investments Hedge Health Care Liabilities? (November 2007). Available at SSRN: https://ssrn.com/abstract=1031046 or http://dx.doi.org/10.2139/ssrn.1031046

William W. Jennings

U.S. Air Force Academy - Department of Management ( email )

2354 Fairchild Drive
Suite 6H-94
Academy, CO 80840-2944
United States

Steve P. Fraser (Contact Author)

Florida Gulf Coast University ( email )

10485 FGCU Blvd S
Ft. Myers, FL 33965-6565
United States

Brian C. Payne

University of Nebraska at Lincoln - Department of Finance ( email )

Lincoln, NE 68588-0490
United States

US Air Force Academy ( email )

Colorado Springs, CO
United States

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