Health and portfolio choices: A diffidence approach

Abstract : 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: (1) 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.
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European Journal of Operational Research, Elsevier, 2017, 259 (1), pp.273--279. 〈10.1016/j.ejor.2016.10.022〉
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https://hal.archives-ouvertes.fr/hal-01667390
Contributeur : Romain Boisselet <>
Soumis le : mardi 19 décembre 2017 - 12:27:40
Dernière modification le : mardi 3 juillet 2018 - 11:23:21

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David Crainich, Louis Eeckhoudt, Olivier Le Courtois. Health and portfolio choices: A diffidence approach. European Journal of Operational Research, Elsevier, 2017, 259 (1), pp.273--279. 〈10.1016/j.ejor.2016.10.022〉. 〈hal-01667390〉

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