2017 Fiscal Year Final Research Report
Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extension
| Project/Area Number |
26380235
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic theory
|
|---|
| Research Institution | Kyoto University |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2014-04-01 – 2018-03-31
|
| 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 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.
|
| Free Research Field |
ミクロ経済学
|
