Portfolio Choice and Life Insurance: The CRRA Case
研究了在恒定相对风险厌恶偏好下，包含人寿保险和劳动收入的投资组合选择问题，发现人力资本与金融资本负相关的家庭应持有更多人寿保险和股票敞口。
Abstract We solve a portfolio choice problem that includes life insurance and labor income under constant relative risk aversion (CRRA) preferences. We focus on the correlation between the dynamics of human capital and financial capital and model the utility of the family as opposed to separating consumption and bequest. We simplify the underlying Hamilton–Jacobi–Bellman equation using a similarity reduction technique that leads to an efficient numerical solution. Households for whom shocks to human capital are negatively correlated with shocks to financial capital should own more life insurance with greater equity/stock exposure. Life insurance hedges human capital and is insensitive to the family's risk aversion, consistent with practitioner guidance.