| 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)
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| 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.
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