| Project/Area Number |
20K01745
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Okayama University |
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Principal Investigator |
Asano Takao 岡山大学, 社会文化科学学域, 教授 (40423157)
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| Project Period (FY) |
2020-04-01 – 2025-03-31
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| Project Status |
Completed (Fiscal Year 2024)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2022: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2021: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2020: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | 曖昧性 / リスク |
|---|
| Outline of Research at the Start |
本研究プロジェクトのテーマは以下の3点にまとめることができる。
①2つの金融資産が曖昧さを伴う資産(ambiguous assets)であり、かつ独立でない場合の、最適ポートフォリオ問題に関する分析、②投資家の意思決定は、曖昧さに対する態度だけに依存するのかに関する分析、③risk measureと曖昧性回避の関係性に関する分析、の3つのテーマを掲げる。
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| Outline of Final Research Achievements |
Based on Klibanoff et al. (2005, Econometrica), this research project analyzed how attitudes toward ambiguity affect the investment behavior of decision makers. In the usual models using utility functions, the analysis is often conducted with one variable, but it is often more appropriate to consider analysis with more than two variables. In this study, two random variables were incorporated into the model, and an analysis was conducted under ambiguity as to how the presence of correlation affects people's optimal investment when the two random variables are correlated. Furthermore, the concept of stochastic dominance was incorporated into the model and its impact on precautionary savings was analyzed.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究プロジェクトは、効用関数が二変数の状況を分析した。例えば、人々の将来の効用を分析する場合、将来の金融資産に加えて、将来の健康状態を分析に加えた方がより現実的であるため、health economicsへの応用を始めとして、他の分野への応用可能性が高い研究成果である。
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