Applications of non-expected utility to asset pricing theory

2021 Fiscal Year Final Research Report

• Project/Area Number: 18K12811
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Tokyo Keizai University
• Principal Investigator: Shigeta Yuki 東京経済大学, 経済学部, 准教授 (90793331)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Keywords: 非期待効用理論 / ポートフォリオ理論 / 資産価格理論

Outline of Final Research Achievements

In this research project, I have conducted several applications of non-expected utility theory to portfolio theory and asset pricing theory. The aims and results of this research project are divided into two parts: ambiguity aversion and a model with time-varying subjective discount rates. In the former, I found that an optimal portfolio with ambiguity aversion tends to have good performances in empirical backtests and numerical simulations if we do not have sufficient data to estimate probability distributions. Further, I also found the observational equivalence of ambiguity aversion and some types of loss aversion. In the latter, I investigated the continuous-time model with endogenously time-varying subjective discount rates and the continuous-time model with time inconsistency.

Free Research Field

金融・ファイナンス

Academic Significance and Societal Importance of the Research Achievements

上記の研究成果により、投資選択理論や資産価格理論における非期待効用理論の重要性が明らかとなった。特に、本研究課題の成果により従来の古典的ファイナンス理論では再現できないような投資家の特性を意思決定モデルを介することで描写することに成功しており、投資促進制度の是非やその事後評価等において、有効な手段となりうることが期待される。また、当該研究課題で得られた成果を応用することで、現在の資産価格理論では決定打となる説明が得られていないアノマリーの検証が可能になることが期待される。