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Article dans une revue

Equity Portfolios with Improved Liability-Hedging Benefits

Abstract : This article analyzes whether it isdesirable andfeasible 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.
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Contributeur : Martin Donnat <>
Soumis le : mercredi 6 février 2019 - 16:17:17
Dernière modification le : lundi 30 novembre 2020 - 09:52:23



Guillaume Coqueret, Lionel Martellini, Vincent Milhau. Equity Portfolios with Improved Liability-Hedging Benefits. Journal of portfolio management, Institutional Investor Inc, 2017, 43 (2), pp.37--49. ⟨10.3905/jpm.2017.43.2.037⟩. ⟨hal-02009875⟩



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