保险与金融工程教研室学术讲座

报告题目：Optimal Savings and Portfolio Choice with Risky Income and Loss-Averse Reference-Dependent Preferences

报  告  人：Servaas van Bilsen （阿姆斯特丹大学 副教授）

主  持  人：Christian Hilpert（中山大学岭南学院 副教授）

时       间：2024年10月16日（周三）10:30

地       址：岭南堂汪道涵会议室(101)

语       言：英文

摘要:

This paper explores the joint impact of loss-averse reference-dependent preferences and risky income on savings and portfolio decisions. Our results reveal that the impact of income shocks on the savings rate and portfolio share is more pronounced under loss-averse reference-dependent preferences, than under CRRA preferences. In particular, given adverse shocks, loss-averse reference-dependent individuals often withdraw financial wealth prior to retirement. Furthermore, we show that the savings rate and portfolio share response to an income shock exhibits large heterogeneity across individuals. Finally, we find that the investment strategy is more conservative, compared to the case with riskless labor income and CRRA utility.

报告人介绍：

Servaas van Bilsen is an Associate Professor of Actuarial Science & Mathematical Finance at the University of Amsterdam and a Netspar Research Fellow. He received his Ph.D. in Economics from Tilburg University in 2015. His research work has been published in leading international finance and actuarial journals such as Review of Finance, Management Science, Journal of Financial & Quantitative Analysis, and Insurance: Mathematics & Economics.

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