15 Pages Posted: 29 Nov 2007
Date Written: November 2007
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: 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