Rational investors are looking for companies to maximise the use of debt to minimise the tax burden. Pension scheme investment strategy involves trade-offs between members and shareholders. Altering the pension fund investment strategy shifts value between shareholders and members. It is much more difficult to achieve an asset strategy that hedges the risks in the underlying pension scheme cashflows. An asset strategy can be made more coherent by a risk management approach that integrates consideration of the pension scheme into the overall capital structure.