Analysis of the influence of ambiguity on asset value and its application

• Project/Area Number: 26380411
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kyoto Sangyo University
• Principal Investigator: IWAKI Hideki 京都産業大学, 経営学部, 教授 (40257647)
• Co-Investigator(Kenkyū-buntansha): 尾崎 祐介 大阪産業大学, 経済学部, 准教授 (80511302) ; 藤井 陽一朗 大阪産業大学, 経済学部, 准教授 (80635376)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000); Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); 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: 不確実性下での意思決定 / 曖昧性 / 経済均衡 / 状態価格密度 / 保険料計算原理 / 資本資産価格評価モデル / CAPM / 滑から曖昧性モデル / 不確実性下の意思決定 / 滑らかな曖昧性モデル / 双対モデル / 均衡 / ファントム空間 / ポートフォリオ選択 / 意思決定 / 比較静学

Outline of Final Research Achievements

In this research project, we obtain the following results. (1) We derive the dual theory of the smooth ambiguity model and show each agent's preference is represented by the expected utility under the compound distribution of the first belief and second belief. (2) We derive an economic premium principle under the dual theory of the smooth ambiguity model. (3) We derive the state price density in economic equilibrium under the dual theory of the smooth ambiguity model and extend the Capital Asset Pricing Model (CAMP) to the one under ambiguity. (4) We newly define the concept of both phantom averse and more phantom averse under decsion making in phantom spaces. We show how phantom aversion affects demand of phantom assets in the portfolio selection problem.

Research Products

• [Journal Article] The dual theory of the smooth ambiguity model (2014)
  • Author(s): 岩城秀樹，尾崎祐介
  • Journal Title: Economic Theory Volume: 56 Issue: 2 Pages: 275-289
  • DOI: 10.1007/s00199-013-0779-6
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] omparative Statics and Portfolio Choices under the Phantom Decision Model (2017)
  • Author(s): 岩城秀樹，尾崎祐介
  • Organizer: The 4th East Asia RMI Workshop
  • Place of Presentation: 建国大学，ソウル（大韓民国）
  • Int'l Joint Research
• [Presentation] Phantom aversion and portfolio choices: The comparative statics (2016)
  • Author(s): 藤井陽一朗、岩城秀樹、尾崎祐介
  • Organizer: 6th International Conference of the Financial Engineering and Banking Society
  • Place of Presentation: マラガ大学，マラガ（スペイン）
  • Year and Date: 2016-06-10
  • Int'l Joint Research
• [Presentation] Phantom aversion and portfolio choices: The comparative statics. (2016)
  • Author(s): 岩城秀樹
  • Organizer: 6th International Conference of the Financial Engineering and Banking Society
  • Place of Presentation: Malaga大学（スペイン王国・マラガ）
  • Year and Date: 2016-06-10
  • Int'l Joint Research
• [Presentation] An Equilibrium Asset Pricing Model under Ambiguity. (2015)
  • Author(s): 岩城秀樹
  • Organizer: World Risk and Insurance Economics Congress Munich 2015
  • Place of Presentation: Ludwig-Maximilians大学(ドイツ連邦共和国・ミュンヘン）
  • Year and Date: 2015-08-02
  • Int'l Joint Research
• [Presentation] Hedging and the Competitive Firm under Ambiguous Price and Background Risk. (2015)
  • Author(s): 尾崎祐介
  • Organizer: 日本ファイナンス学会第２３回大会
  • Place of Presentation: 東京大学（東京都・文京区）
  • Year and Date: 2015-06-06
• [Presentation] An Economic Premium Principle under the Smooth Ambiguity Aversion (2014)
  • Author(s): 藤井陽一朗，岩城秀樹，尾崎祐介
  • Organizer: European Group of Risk and Insurance Economists (EGRIE)
  • Place of Presentation: St. Gallen, Switzerland
  • Year and Date: 2014-09-15 – 2014-09-17