报告题目：Optimal Consumption–Investment–Health-Investment Portfolio with Labor Income

报告时间：2026年10月30日 15：00-16：00

地点：嘟嘟成人网 106会议室

报告人：刘敬真

摘要：This paper studies the optimal joint decisions of consumption, risky-asset investment, health investment, and labor supply. Health investment slows the rise in the force of mortality, whereas labor intensifies it; both affect lifetime expected consumption utility via life expectancy. Unlike existing endogenous-mortality models, which recognize only the protective effect of health investment, our framework captures both directions of this channel within a single model. Health investment depletes wealth while labor income raises it. We embed these channels in the classical Merton framework, with a modified Gompertz model of endogenous mortality and labor-time bounds. Under constant absolute risk aversion (CARA) utility, closed-form strategies are derived and solved numerically by a shooting method anchored at the old-age mortality plateau. The optimal risky-asset position is constant, invariant to health and wealth. Labor supply and health investment admit both interior and corner solutions. Raising the health-investment efficiency a raises consumption and delays retirement, whereas raising the labor health-damage parameter b lowers consumption and induces earlier retirement. Health investment follows an inverted-U in b, peaking where the marginal response of the shadow value of mortality to b switches sign. Although this peak lies near the corner-to-interior threshold of labor supply, the two rest on distinct mechanisms, revealing an intrinsic interaction between health investment and labor supply. The findings support policies that improve medical efficiency and strengthen workplace health protection.

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。