Titre :

Health and portfolio choices: A diffidence approach

Auteur(s) :

Crainich, David [Auteur]
IÉSEG School Of Management [Puteaux]
Lille économie management - UMR 9221 [LEM]
Eeckhoudt, Louis [Auteur]
IÉSEG School Of Management [Puteaux]
Lille économie management - UMR 9221 [LEM]
Courtois, Olivier Le [Auteur]
EMLyon Business School [EM]

Titre de la revue :

European Journal of Operational Research

Pagination :

273--279

Éditeur :

Elsevier

Date de publication :

2017-05

ISSN :

0377-2217

Mot(s)-clé(s) en anglais :

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

Discipline(s) HAL :

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

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Comité de lecture :

Oui

Audience :

Internationale

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL