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Portfolio Management

Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration

, CFA &
Pages 60-67 | Published online: 31 Dec 2018

References

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  • Kopcke, Richard W.. 2007. “Managing the Risk in Pension Plans and Recent Pension Reforms.” Federal Reserve Bank of Boston Public Policy Discussion Papers, No. 06-7.
  • Siegel, Laurence B., and M. Barton Waring. 2004. “TIPS, the Dual Duration, and the Pension Plan.” Financial Analysts Journal, vol. 60, no. 5 (September/October): 52–6410.2469/faj.v60.n5.2656.
  • Standard & Poor’s. 2008. “S&P 500 2007: Pensions and Other Post Employment Benefits.” (19 May).
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