Health, social status and optimal consumptionportfolio choice
The paper introduces health into a representative agents preference who cares about her social status,and based on this new preference structure,we have reached a closed-form solution to the agents optimal consumption-portfolio question.Consistent with the expectation,the optimal ratio of the risky asset the agent holds is influenced by the covariance of the return of the risky asset and health growth rate,and the marginal propensity of consumption grows with the enhancement of expected health level and decreases with the increase of health volatility along the optimal consumption path.Besides,the model also indicates that the effect of the increase of the agents concern about health on marginal propensity of consumption is determined by the comparison between expected health growth and volatility.These results are helpful in explaining the consumption,saving and wealth accumulation behavior observed in Chinas transitional period,and are of some value to the practice of the governments macroeconomic policy on encouraging consumption and expanding domestic demand.
optimal consumption-portfolio marginal propensity of consumption expected wealth growth and volatility risk premium
Shuguang Sun Mingshan Zhou Ming Lei
Guanghua School of ManagementPeking UniversityBeijing,China Guanghua School of Management Peking University Beijing,China
国际会议
北京
英文
2008-10-12（万方平台首次上网日期，不代表论文的发表时间）