scholarly journals Tail risk hedging strategies for corporate pension plans

2011 ◽  
Vol 17 (3) ◽  
pp. 237-252
Author(s):  
Josh Davis ◽  
Jim Moore ◽  
Niels K Pedersen
Keyword(s):  
Pension Plans ◽  
Tail Risk ◽  
Risk Hedging ◽  
Hedging Strategies ◽  
Corporate Pension

scholarly journals Corporate pension plans and investment choices: Bargaining or conforming?

2018 ◽  
Vol 50 ◽  
pp. 519-537 ◽  
Author(s):  
Meryem Duygun ◽  
Bihong Huang ◽  
Xiaolin Qian ◽  
Lewis H.K. Tam
Keyword(s):  
Pension Plans ◽  
Corporate Pension ◽  
Investment Choices

Tail Risk Hedging Performance: Measuring What Counts

2021 ◽  
Author(s):  
Linda Chang ◽  
Jeremie Holdom ◽  
Vineer Bhansali
Keyword(s):  
Tail Risk ◽  
Risk Hedging ◽  
Hedging Performance

Evaluating the Efficiency of Portfolio-Hedging Strategies by Incorporating Third Degree Stochastic Dominance Criteria and Data Envelopment Analysis

2021 ◽  
pp. 22-46
Author(s):  
Margareta Gardijan Kedžo
Keyword(s):  
Data Envelopment Analysis ◽  
Stochastic Dominance ◽  
Data Envelopment ◽  
Risk Averse ◽  
Super Efficiency ◽  
Risk Hedging ◽  
The Third ◽  
Positive Skewness ◽  
Hedging Strategies ◽  
Efficient Hedging

The chapter investigates chosen hedging strategies with options as useful risk hedging instruments. Assuming that average investor prefers greater return, is risk-averse, and prefers greater positive skewness, the performance of different hedged and unhedged portfolios is evaluated using stochastic dominance (SD) criteria and data envelopment analysis (DEA). The SD is examined up to the third degree (TSD) using Davidson-Duclos (DD) test. In the DEA, a super efficiency BCC model is used. It is investigated how these two methodologies can be combined and how the TSD criteria can be integrated into DEA in order to simplify the analysis of determining efficient hedging strategies with options.

Financing Constraints and the Cost of Capital: Evidence from the Funding of Corporate Pension Plans

2011 ◽  
Vol 25 (3) ◽  
pp. 868-912 ◽  
Author(s):  
John L. Campbell ◽  
Dan S. Dhaliwal ◽  
William C. Schwartz
Keyword(s):  
Cost Of Capital ◽  
Pension Plans ◽  
Financing Constraints ◽  
Corporate Pension ◽  
The Cost
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