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ambiguity第15回VCASIセミナー「Ambiguity and Risk in Global Games---Theory, Applications, and Experiments」（宇井貴志先生） 日時:
2009年9月2日（水）13:00-15:00
場所:
日本財団ビル3階A会議室
発表者:
宇井貴志（VCASIフェロー、横浜国立大学経済学部教授）
概要:
プレイヤーがmaxmin期待効用をもつグローバルゲームの理論 http://takashi.ui.googlepages. »
投稿者：narita 投稿日時：日, 2009-03-22 10:37
日付:
Sun, 2009-02-01
Abstract:
This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited mar- ket participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors’ ambiguity increases suffi- ciently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have oppo- site signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market.
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