Optimal portfolio choice when utility depends on health

被引：43

作者：

Edwards, Ryan D. ^{[1
,2
]}

机构：

[1] CUNY, Queens Coll, New York, NY 10021 USA

[2] CUNY, Grad Ctr, New York, NY 10021 USA

来源：

INTERNATIONAL JOURNAL OF ECONOMIC THEORY | 2010年 / 6卷 / 02期

关键词：

background risk; cross partial derivative; health; precautionary saving; state-dependent utility; G11; I12; J14; BACKGROUND RISK; LABOR INCOME; LIFE-CYCLE; CONSUMPTION; DEMAND; UNCERTAINTY; SELECTION; RETURNS; EQUITY; CARE;

D O I：

10.1111/j.1742-7363.2010.00131.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines optimal portfolio choice when health can change the shape of the utility function. If adverse health shocks threaten to increase the marginal utility of consumption, that is, if they are Edgeworth-Pareto substitutes, risky health prompts individuals to lower their risky portfolio shares. Health naturally becomes more uncertain with age, so this theory might help to explain why aging investors gradually decrease their risk exposure even when asset returns display no mean reversion and relative risk aversion is constant.

引用

页码：205 / 225

页数：21

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