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

共 39 条

[21]

Ibbotson RG., 2000, FINANCIAL ANAL J, V56, P26, DOI [10.2469/faj.v56.n1.2327, DOI 10.2469/FAJ.V56.N1.2327]

[22]

Jagannathan R., 1996, Federal Reserve Bank of Minneapolis Quarterly Review, V20, P11, DOI 10.21034/qr.2032

[23]

KIMBALL MS, 1992, NEW PALGRAVE DICT MO, V3, P158

[24] Uncertain health and survival: Effects on end-of-life consumption [J].

Lillard, LA ;

Weiss, Y .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1997, 15 (02) :254-268

[25]

Malkiel B. G., 1999, A random walk down Wall Street: including a life-cycle guide to personal investing

[26] THE EQUITY PREMIUM - A PUZZLE [J].

MEHRA, R ;

PRESCOTT, EC .

JOURNAL OF MONETARY ECONOMICS, 1985, 15 (02) :145-161

[27] OPTIMUM CONSUMPTION AND PORTFOLIO RULES IN A CONTINUOUS-TIME MODEL [J].

MERTON, RC .

JOURNAL OF ECONOMIC THEORY, 1971, 3 (04) :373-413

[28] LIFETIME PORTFOLIO SELECTION UNDER UNCERTAINTY - CONTINUOUS-TIME CASE [J].

MERTON, RC .

REVIEW OF ECONOMICS AND STATISTICS, 1969, 51 (03) :247-257

[29]

Miller T, 2001, DEMOGRAPHY, V38, P215, DOI 10.2307/3088302

[30] Uncertain medical expenses and precautionary saving near the end of the life cycle [J].

Palumbo, MG .

REVIEW OF ECONOMIC STUDIES, 1999, 66 (02) :395-421

← 1 2 3 4 →