Title :

Health and portfolio choices: A diffidence approach

Author(s) :

Crainich, David [Auteur]
Lille économie management - UMR 9221 [LEM]
Eeckhoudt, Louis [Auteur]
Lille économie management - UMR 9221 [LEM]
Courtois, Olivier Le [Auteur]

Journal title :

European Journal of Operational Research

Pages :

273--279

Publisher :

Elsevier

Publication date :

2017-05

ISSN :

0377-2217

English keyword(s) :

Utility functions
Assets (Accounting)
Correlation (Statistics)
Health status indicators
Medical decision making

HAL domain(s) :

Économie et finance quantitative [q-fin]
Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL