Development of reference dependent decision making models under ambiguity and their application to the deposition effects

模糊条件下参考相关决策模型的开发及其在沉积效应中的应用

• 批准号: 20K01761
• 负责人: 岩城 秀樹
• 金额: $ 2.66万
• 依托单位: Tokyo University of Science (2022)Kyoto Sangyo University (2020-2021)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2020
• 资助国家: 日本
• 起止时间: 2020-04-01 至 2024-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-20K01761/
• 关键词: 不確実性下の意思決定; 曖昧性; 気質効果; アノマリー; 滑らかな曖昧性モデル; 非期待効用; 経済パズル; 不確実な確率を持つ期待効用; 参照点異存; プロスペクト理論; 曖昧性下の意思決定; 参照的依存

当該年度の研究成果は以下のとおりである。(1) Izhakian, Y.が提唱した不確実な確率をもつ期待効用（Expected Utility with Uncertain Probabilities)を用いて、人々の曖昧性に対する態度が、ポートフォリオ選択と資産価格にどのように影響を与えるのかについて分析を行った。この結果、以下の３つの結果を得た。①対象資産の期待収益率が正であっても、収益率が曖昧な資産については投資をしないこと。②曖昧性回避が、収益率が曖昧な資産に対する需要を減少させるための条件を導出。③市場データに基づき推定したパラメータ値を用いて状態価格密度を導出、この成果を``The net effect of attitudes toward ambiguity on portfolio choices and asset prices." という題目の論文にまとめて国際学術誌に投稿、査読者改定要求を受けて、改訂版を再投稿、現在審査中である。(2) 昨年度、将来起こり得る結果が不確実で、起こり得る結果や結果の生起確率が一意に定まらないという曖昧性下での意思決定モデルの一つであるIzhakian, Y.が提唱した不確実な確率をもつ期待効用（Expected Utility with Uncertain Probabilities)を用いて、従来のファイナンス理論では説明の付かないアノマリーとして扱われてきた気質効果(保有資産価値が上昇した場合に比して、下落した場合には保有資産の売却を行わないという実証的に観測される現象)の解明を数値実験によって行った。この結果、パラメータ設定によっては、内性的に従来のモデルよりも強く気質効果が発現することを導出できた。今後、これを論文にまとめ、然るべき国際学術誌に投稿、掲載を目指していきたい。

When the research results of that year are listed below. (1) Izhakian, Y. Please note that you are not sure about the accuracy rate and that you are expecting to use (Expected Utility with Uncertain Probabilities) information, information, statistics, information, information, etc. The result of the test, the results of the following three tests are satisfactory. 1 the expected profit rate of the financial information system is positive, the profit rate is negative, and the profit rate is unknown. (2) ignorance avoidance and profit rate. Information is required to obtain additional information and conditions are required. (3) the market market is based on the presumption that the market performance is determined by the grid density of the market status, and the results are determined. ``The net effect of attitudes toward ambiguity on portfolio choices and asset prices. " I am sorry to ask you to submit a contribution to the journal of national studies, and those who have changed the request for further contribution, and are now in the middle of the process. (2) in the past year and in the future, the results showed that the results were not correct, and the results showed that the confirmation rate was determined by the intention to determine the accuracy of Izhakian, Y. Please note that you are not sure about the accuracy rate, and that you are looking forward to using (Expected Utility with Uncertain Probabilities) to inform you that you are not sure about your performance. The whereabouts of the database is in the possession of the database, but the number of data in the database is not known. The result of the test, the configuration of the configuration, the effect of the internal configuration, and the effect of the internal properties on the results show that the error will not occur. From now on, I will ask you to write a copy of the article, and then you will submit a contribution to your study magazine, which means that you will make a contribution.

项目成果

The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity

模糊性参考相关平滑模型下的处置效应

• DOI: 10.1515/apjri-2020-0041
• 发表时间: 2021
• 期刊: Asia-Pacific Journal of Risk and Insurance
• 作者: Iwaki Hideki;Yoshikawa Daisuke
• 通讯作者: Yoshikawa Daisuke

Portfolio choices and asset pricing under EUUP: the comparative statics analysis

EUUP 下的投资组合选择和资产定价：比较静态分析

• 发表时间: 2021
• 作者: Takeshi Hoshikawa;Kazuyuki Inagaki;岩城秀樹
• 通讯作者: 岩城秀樹

Disposition Effect under the Reference Dependent Smooth Model of Ambiguity

模糊性参考相关平滑模型下的处置效应

• 发表时间: 2020
• 作者: Yoshihiro Nishi;Aiko Suge;Hiroshi Takahashi;小林磨美;Kanno Masayasu;岩城秀樹;Hideki Iwaki
• 通讯作者: Hideki Iwaki

Portfolio Choices and Asset Prices under EUUP: The Comparative Statics Analysis

• DOI: 10.2139/ssrn.3943729
• 发表时间: 2021-10
• 期刊: Behavioral & Experimental Finance eJournal
• 作者: Hideki Iwaki;Y. Osaki

An Ambiguity Measure under EUUP and Its Application to a Portfolio Problem

EUUP下的模糊性测度及其在投资组合问题中的应用

• DOI: 10.4236/jmf.2020.102018
• 发表时间: 2020
• 期刊: Journal of Mathematical Finance
• 作者: Nishi Yoshihiro;Suge Aiko;Takahashi Hiroshi;稲垣一之;稲垣一之;稲垣一之;菅野 正泰;Hideki Iwaki
• 通讯作者: Hideki Iwaki