Characterization of the inverse-S shaped probability weighting function and its applications to asset prices
| Project/Area Number |
21830146
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Osaka Sangyo University |
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Principal Investigator |
OSAKI Yusuke Osaka Sangyo University, 経済学部, 准教授 (80511302)
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| Project Period (FY) |
2009 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥1,404,000 (Direct Cost: ¥1,080,000、Indirect Cost: ¥324,000)
Fiscal Year 2010: ¥663,000 (Direct Cost: ¥510,000、Indirect Cost: ¥153,000)
Fiscal Year 2009: ¥741,000 (Direct Cost: ¥570,000、Indirect Cost: ¥171,000)
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| Keywords | 逆S字型確率加重関数 / 順位依存型確率 / 主観的確率 / 高次リスク回避度 / 最適期待 / バックグラウンドリスク |
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| Research Abstract |
The purpose of this research project is to characterize the inverse-S shaped probability weighting function using the result in the expected utility framework. I propose a new characterization of higher-order risk aversion index, which is a promising candidate for characterization. I now attempt to characterize that function using unimodal stochastic dominance.
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Report
(3 results)
Research Products
(12 results)
