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Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extension

Research Project

Project/Area Number 26380235
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic theory
Research InstitutionKyoto University

Principal Investigator

Katsutoshi Wakai  京都大学, 経済学研究科, 教授 (80455708)

Project Period (FY) 2014-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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)
Keywords理論経済学 / 意思決定論 / 資産価格理論 / 行動ファイナンス / 経済理論
Outline of Final Research Achievements

I have conducted applied research on "ambiguity aversion", that is, a tendency that a decision maker dislikes a situation where a probability of state realization is unknown. In particular, I focus on the robust mean-variance preferences introduced by Maccheroni et al.(2013), which extends the standard mean-variance preferences by including the term that captures the aversion to ambiguity. Assuming the robust mean-variance preferences, I have confirmed that the CAPM type of result holds among equilibrium asset prices, that is, the expected return excess of the risk-free rate is equal to the beta times the expected excess return of the market portfolio. Moreover, by converting this relation into a different formation, I have shown that it is possible to recognize empirically a factor that captures an effect of ambiguity aversion. Furthermore, I have proven theoretically that an expected return of this identified factor must be lower than that of the market portfolio.

Report

(5 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Research-status Report
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (3 results)

All 2018 Other

All Journal Article (1 results) (of which Open Access: 1 results) Remarks (2 results)

  • [Journal Article] A Factor Pricing Model under Ambiguity2018

    • Author(s)
      若井克俊
    • Journal Title

      Kyoto University, Graduate School of Economics, Discussion Paper Series

      Volume: E-17-012 Pages: 1-31

    • Related Report
      2017 Annual Research Report
    • Open Access
  • [Remarks] http://www.econ.kyoto-u.ac.jp/~wakai/

    • Related Report
      2015 Research-status Report
  • [Remarks] http://www.econ.kyoto-u.ac.jp/~wakai/

    • Related Report
      2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2019-03-29  

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