Analysis of the influence of ambiguity on asset value and its application
| Project/Area Number |
26380411
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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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| Research Field |
Money/ Finance
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| Research Institution | Kyoto Sangyo University |
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Principal Investigator |
IWAKI Hideki 京都産業大学, 経営学部, 教授 (40257647)
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| 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)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(7 results)
