Smooth Ambiguity Model and Ambiguity Aversion: Theory and Application

2024 Fiscal Year Final Research Report

• Project/Area Number: 20K01745
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Okayama University
• Principal Investigator: Asano Takao 岡山大学, 社会文化科学学域, 教授 (40423157)
• Project Period (FY): 2020-04-01 – 2025-03-31
• Keywords: 曖昧性 / リスク

Outline of Final Research Achievements

Based on Klibanoff et al. (2005, Econometrica), this research project analyzed how attitudes toward ambiguity affect the investment behavior of decision makers. In the usual models using utility functions, the analysis is often conducted with one variable, but it is often more appropriate to consider analysis with more than two variables. In this study, two random variables were incorporated into the model, and an analysis was conducted under ambiguity as to how the presence of correlation affects people's optimal investment when the two random variables are correlated. Furthermore, the concept of stochastic dominance was incorporated into the model and its impact on precautionary savings was analyzed.

Free Research Field

金融経済学

Academic Significance and Societal Importance of the Research Achievements

本研究プロジェクトは、効用関数が二変数の状況を分析した。例えば、人々の将来の効用を分析する場合、将来の金融資産に加えて、将来の健康状態を分析に加えた方がより現実的であるため、health economicsへの応用を始めとして、他の分野への応用可能性が高い研究成果である。