Health and (other) Asset Holdings


Autoria(s): Hugonnier J.; Pelgrin F.; St-Amour P.
Data(s)

01/05/2009

Resumo

The empirical literature on the asset allocation and medical expenditures of U.S. households consistently shows that risky portfolio shares are increasing in both wealth and health whereas health investment shares are decreasing in these same variables. Despite this evidence, most of the existing models treat financial and health-related choices separately. This paper bridges this gap by proposing a tractable framework for the joint determination of optimal consumption, portfolio and health investments. We solve for the optimal rules in closed form and show that the model can theoretically reproduce the empirical facts. Capitalizing on this closed-form solution, we perform a structural estimation of the model on HRS data. Our parameter estimates are reasonable and confirm the relevance of all the main characteristics of the model.

Formato

67

Identificador

http://serval.unil.ch/?id=serval:BIB_6C16E201D2BA

http://www.nccr-finrisk.uzh.ch/wps.php

http://my.unil.ch/serval/document/BIB_6C16E201D2BA.pdf

http://nbn-resolving.org/urn/resolver.pl?urn=urn:nbn:ch:serval-BIB_6C16E201D2BA3

Idioma(s)

en

Publicador

NCCR (National Centre of Competence in Research), FINRISK (Financial Valuation and Risk Management)

Direitos

info:eu-repo/semantics/openAccess

Palavras-Chave #portfolio; health investment; mortality risk
Tipo

info:eu-repo/semantics/workingPaper

techreport