Asymmetric error minimization and its applications to economics

2016 Fiscal Year Final Research Report

• Project/Area Number: 26380244
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic theory
• Research Institution: Keio University
• Principal Investigator: OZAKI Hiroyuki 慶應義塾大学, 経済学部(三田), 教授 (90281956)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: 意思決定論

Outline of Final Research Achievements

The mathematical expectation of given random variable is know as the best approximate of it by a constant. Importantly, here, the error is measured by the mean-squared-error. Ozaki (2009) extends this conditioning scheme to a more general framework and succeeded in defining the conditioning scheme for a family of functionals that includes the expectation as a very special case. A key idea for this is to use more abstract measurement for errors rather than the mean-squared-error. In particular, he developed the conecept of an asymmetric error function that substantially extends the conecept of the mean-squared-error. This project applied an asymmetric error function to a more concrete economic situation, namely, Ellsberg's paradox, where the choice patterns of people observed were never able to be explained by means of the concept of usual probability. Ozaki showed that the paradox is resolved even under the traditional probability case if people adopt the asymmetric error functions.

Free Research Field

理論経済学