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Do Health Care Investments Hedge Health Care Liabilities?

15 Pages Posted: 29 Nov 2007  

William W. Jennings

U.S. Air Force Academy - Department of Management

Steve P. Fraser

Florida Gulf Coast University

Brian C. Payne

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

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., 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 )

Ft. Myers, FL 33965-6565
United States

Brian C. Payne

US Air Force Academy ( email )

Colorado Springs, CO
United States

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

Lincoln, NE 68588-0490
United States

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