Health and portfolio choices: A diffidence approach

被引：7
|
作者：
Crainich, David [1 ,2 ]
Eeckhoudt, Louis [1 ,2 ]
Le Courtois, Olivier [3 ]
机构：
[1] CNRS, LEM, UMR 9221, 3 Rue Digue, F-59000 Lille, France
[2] Ieseg Sch Management, 3 Rue Digue, F-59000 Lille, France
[3] EMLyon Business Sch, 23 Ave Guy Collongue, F-69130 Ecully, France
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2017年 / 259卷 / 01期
关键词：
Health; Portfolio choices; Diffidence theorem; Correlation aversion; Cross Prudence; DOWNSIDE RISK-AVERSION; BACKGROUND RISK; STRONGER MEASURES; LABOR INCOME; LIFE-CYCLE; COMMODITIES; BEHAVIOR; DEMAND;
D O I：
10.1016/j.ejor.2016.10.022
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The effect of health status on portfolio decisions has been extensively studied from an empirical viewpoint. In this paper, we propose a theoretical model of individuals' choice of financial assets under bivariate utility functions depending on wealth and health. Our approach makes an extensive use of the diffidence theorem. We establish the conditions under which the share of wealth held in risky assets falls as: (I) individuals' health status deteriorates and; (2) individuals' health status becomes risky. These conditions are shown to be related to the behavior of the intensities of correlation aversion and of cross prudence as wealth increases. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：273 / 279
页数：7
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