Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extension

Research Project

Project/Area Number	26380235
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Multi-year Fund
Section	一般
Research Field	Economic theory
Research Institution	Kyoto University
Principal Investigator	Katsutoshi Wakai 京都大学, 経済学研究科, 教授 (80455708)
Project Period (FY)	2014-04-01 – 2018-03-31
Project Status	Completed (Fiscal Year 2017)
Budget Amount *help	¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000) Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000) Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000) Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywords	理論経済学 / 意思決定論 / 資産価格理論 / 行動ファイナンス / 経済理論
Outline of Final Research Achievements	I have conducted applied research on "ambiguity aversion", that is, a tendency that a decision maker dislikes a situation where a probability of state realization is unknown. In particular, I focus on the robust mean-variance preferences introduced by Maccheroni et al.（2013）, which extends the standard mean-variance preferences by including the term that captures the aversion to ambiguity. Assuming the robust mean-variance preferences, I have confirmed that the CAPM type of result holds among equilibrium asset prices, that is, the expected return excess of the risk-free rate is equal to the beta times the expected excess return of the market portfolio. Moreover, by converting this relation into a different formation, I have shown that it is possible to recognize empirically a factor that captures an effect of ambiguity aversion. Furthermore, I have proven theoretically that an expected return of this identified factor must be lower than that of the market portfolio.