DISCUSSION PAPER PI-0715
Do Health Care Investments Hedge Health Care Liabilities?
William W. Jennings, Steve P. Fraser & Brian C. Payne
We examine whether health care equity investments hedge health care liabilities.
In contrast with conventional wisdom, we find them uncorrelated and, thus,
Key words: Portfolio choice, mean-variance optimization, asset allocation, pension, liability-driven investment, non-profit investment, health-care financing