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Asymmetric error minimization and its applications to economics

Research Project

Project/Area Number 26380244
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic theory
Research InstitutionKeio 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
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywords意思決定論 / 非期待効用 / 非対称誤差 / エルスバーグの逆説 / 不確実性 / リスク / 最小二乗法 / 失望回避 / 強気と弱気 / 統計的意思決定論 / 最適ポートフォリオ分析
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.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report

Research Products

(12 results)

All 2017 2015 2014 Other

All Journal Article (4 results) (of which Peer Reviewed: 2 results,  Acknowledgement Compliant: 1 results) Presentation (6 results) (of which Int'l Joint Research: 2 results,  Invited: 1 results) Book (1 results) Remarks (1 results)

  • [Journal Article] Monetary equilibria and Knightian uncertainty2015

    • Author(s)
      大滝英生、尾崎裕之
    • Journal Title

      Economic Theory

      Volume: 59 Pages: 435-459

    • DOI

      10.1007/s00199-015-0887-6

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Integral with respect to non-additive measure in economics2014

    • Author(s)
      Hiroyuki Ozaki
    • Journal Title

      Studies in Fuzziness and Soft Computing

      Volume: 310 Pages: 97-130

    • Related Report
      2014 Research-status Report
    • Peer Reviewed
  • [Journal Article] A proof of Anscombe and Aumann's theorem2014

    • Author(s)
      Hiroyuki Ozaki
    • Journal Title

      数理解析研究所講究録

      Volume: 1906 Pages: 95-102

    • Related Report
      2014 Research-status Report
  • [Journal Article] 経済動学における非加法的測度2014

    • Author(s)
      尾崎裕之
    • Journal Title

      知能と情報

      Volume: 26 Pages: 132-141

    • NAID

      130006893190

    • Related Report
      2014 Research-status Report
  • [Presentation] Recursive H-J-B Equation2017

    • Author(s)
      Hiroyuki Ozaki
    • Organizer
      Mathematical Economics 2017 @ Keio
    • Place of Presentation
      慶應義塾大学(東京都港区)
    • Year and Date
      2017-03-17
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimality in a stochastic OLG model with ambiguity2015

    • Author(s)
      尾崎裕之
    • Organizer
      RIMS Workshop "Mathematical Analysis in Economic Theory"
    • Place of Presentation
      京都大学数理解析研究所(京都府京都市左京区)
    • Year and Date
      2015-11-25
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Upper-convergent Dynamic Programming2015

    • Author(s)
      Hiroyuki Ozaki
    • Organizer
      The 6th Conference on Mathematical Analysis in Economic Theory
    • Place of Presentation
      慶應義塾大学(東京)
    • Year and Date
      2015-01-27
    • Related Report
      2014 Research-status Report
  • [Presentation] Multi-Belief Rational-Expectations Equilibria: Indeterminacy, Complexity and Sustained Deflation2014

    • Author(s)
      尾崎裕之
    • Organizer
      第16回マクロコンファレンス
    • Place of Presentation
      慶應義塾大学(東京)
    • Year and Date
      2014-11-30
    • Related Report
      2014 Research-status Report
  • [Presentation] Recursive Capacitary Kernel2014

    • Author(s)
      Hiroyuki Ozaki
    • Organizer
      The 11th International Conference on Modeling Decisions for Artificial Intelligence
    • Place of Presentation
      筑波大学東京キャンパス(東京)
    • Year and Date
      2014-10-31
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] Logarithmic Dynamic Rrogramming2014

    • Author(s)
      Hiroyuki Ozaki
    • Organizer
      Society for the Advancement of Economic Theory
    • Place of Presentation
      早稲田大学(東京)
    • Year and Date
      2014-08-20
    • Related Report
      2014 Research-status Report
  • [Book] Economics of Pessimism and Optimism: Theory and Applications of Knightian Uncertainty2017

    • Author(s)
      Kiyohiko G. Nishimura, Hiroyuki Ozaki
    • Publisher
      Springer
    • Related Report
      2016 Annual Research Report
  • [Remarks] Hiroyuki Ozaki

    • URL

      http://web.econ.keio.ac.jp/staff/ozaki/

    • Related Report
      2015 Research-status Report 2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2018-03-22  

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