健康风险对最优消费-证券组合的影响

The Impact of Health Risk on Optimal Consumption-portfolio Choice

本文在一个代表性消费者的偏好中引入了健康,而健康水平受一个随机冲击的影响,在这一假定下我们得到了消费者最优消费以及投资组合问题闭形式的解。模型的解表明,在最优消费路径上边际消费倾向随健康水平期望增长率提高而提高,而随健康水平波动率提高而下降;同时消费者对健康关注程度的提高对于边际消费倾向的影响取决于预期健康水平增长率和波动率的相对大小,这些结果对于解释我国经济转轨时期的消费、储蓄以及财富积累现象具有一定的价值,尤其是对于我国实现经济增长转向依赖于以内部消费需求为主的政策提供了有益的启示。

The paper introduces health into a consumer＇s preference, and based on this new preference structure, we have reached a closed-form solution to a representative＇s optimal consumption-portfolio problem. Consistent with the expectation, the optimal ratio of the risky asset the consumer holds is determined 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 growing of health volatility along the optimal consumption route. Besides, the model also indicates that the effect of the increase of the consumer＇s concern about health on mareinal 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 China＇s transitional period, and are of some value to the practice of the government＇s macroeconomic policy on encouraging consumption and expanding domestic demand.