Equity Portfolios with Improved Liability-Hedging Benefits
研究负债驱动型投资者是否应持有比市值加权指数更能对冲负债风险的股票组合，发现选择低波动和高股息股票并采用最小方差加权可显著提升福利。
This article analyzes whether it is <i>desirable</i> and <i>feasible</i> for an investor endowed with liabilities to hold an equity portfolio with better liability-hedging properties than a broad cap-weighted index. From a theoretical standpoint, the authors show that liability-driven investors will generally benefit from reducing the tracking error of their performance portfolios with respect to liabilities, unless this comes at an exceedingly large loss of performance. The authors then empirically document the heterogeneity of interest-rate-hedging properties across the constituents of the S&P 500 universe, and they show that substantial welfare gains can be achieved by selecting low-volatility and high-dividend-yield stocks. These benefits are further enhanced if a minimum-variance weighting scheme is applied to the selected stocks. <b>TOPICS:</b>Portfolio construction, analysis of individual factors/risk premia, long-term/retirement investing