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

2016 Fiscal Year Final Research Report

• 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)
• Project Period (FY): 2014-04-01 – 2017-03-31
• 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

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.

Free Research Field

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