时 间：2026年4月24 日（周五）09：30 - 10：30
地点 ：普陀校区理科大楼A1514室
报告人：刘敬真 中央财经大学教授
邀请人：危佳钦 华东师范大学教授
摘 要：
This paper investigates the optimal consumption-investment and healthcare investment problem for an agent with health-dependent income. Using the Cobb-Douglas utility, we solve the optimization problem analytically via the convex dual method and Feynman-Kac representation. We identify a critical wealth-health threshold: below this threshold, health and wealth act as substitutes, incentivizing healthier agents to invest more in healthcare to protect labor income; above it, they become complements, leading to reduced healthcare expenditure. Furthermore, we find that endogenous healthcare generates an expenditure effect, while the health stock drives an income effect. These two effects lead to a novel non-monotonic relationship between health stock and risky asset allocation. Finally, we conduct sensitivity analyses and numerical simulations to examine how optimal strategies vary across agents with different health conditions, and to quantify the welfare improvements resulting from health interventions.
报告人简介：
刘敬真教授，博士生导师；2010年博士毕业于香港理工大学应用数学系。曾在控制、金融数学以及精算领域国际top期刊SIAM Journal on Control and Optimization、Mathematics of Operations Research、Automatica、Finance and stochastics 、Scandinavian Actuarial Journal、North American Actuarial Journal 等期刊发表学术文章三十余篇，主持国家自然科学基金项目3项，曾获批中央财经大学青年英才计划。