2017 Fiscal Year Final Research Report
Applied analysis of ambiguityaugumented meanvariance preferences and its dynamic extension
Project/Area Number 
26380235

Research Category 
GrantinAid for Scientific Research (C)

Allocation Type  Multiyear Fund 
Section  一般 
Research Field 
Economic theory

Research Institution  Kyoto University 
Principal Investigator 

Project Period (FY) 
20140401 – 20180331

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 
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 meanvariance preferences introduced by Maccheroni et al.（2013）, which extends the standard meanvariance preferences by including the term that captures the aversion to ambiguity. Assuming the robust meanvariance preferences, I have confirmed that the CAPM type of result holds among equilibrium asset prices, that is, the expected return excess of the riskfree 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.

Free Research Field 
ミクロ経済学
