リスクと不確実性に関する研究会
（関心がある方は齊藤まで，makoto@econ.hit-u.ac.jp）

　研究会
【２００８年】
１１月１４日（金），宮崎憲治　
　　　Choquet積分のメモ
　　　An overview of economic applications of David Schmeidler’s models of decision making under uncertainty Sujoy Mukerji & Jean-Marc Tallon, July 4, 2003
　　　レジュメ

１１月２８日（金），齊藤　誠
　　Weitzman論文のレビュー
　　　Subjective Expectations and Asset-Return Puzzles
　　　A Review of The Stern Review on the Economics of Climate Change
　　　On Modeling and Interpreting the Economics of Catastrophic Climate Change
　　　レジュメ

１２月１２日（金），東陽一郎
　　SEU、Ellsberg Paradox とその解消
　　　レジュメ

（４）１月３０日（金），竹内　幹
　　プロスペクト理論のサーベイ
　　　レジメ

（５）２月１３日（金），伊藤秀史
　　所有権理論から見た企業の境界
　　契約理論研究会（CTWE）との合同研究会（４時半から一橋大学東キャンパスにあるマーキュリータワー３４０３号室（４階））
　　　Four formal(izable) theories of the firm? by Robert Gibbons
　　　Incomplete Contracts and Ownership: Some New Thoughts By Oliver Hart and John Moore


（６）２月２０日（金），田中敬一
　　Ambiguity aversion とdynamic consistency
　　　レジュメ
　　　Epstein, Schneider "Recursive multiple-priors" JET 113 (2003) 1-31
　　　Nishimura, Ozaki "Irreversible investment and Knightian uncertainty" JET 136 (2007) 668-694　

（７）３月１６日（月），山田知明
　　ロバストコントロール
　　　レジュメ1
　　　レジュメ2
　　　WANTING ROBUSTNESS IN MACROECONOMICS by LARS PETER HANSEN AND THOMAS J. SARGENT

（８）5月20日（水）6時，楡井 誠（一橋大学）
　　非ガウス振動を生成するいくつかの経済モデル
　　　 Mark Newman, Contemporary Physics, Vol 46, 2005
　　(large deviation) Embrechts, Kluppelberg, and Mikosch, "Modelling Extremal Events"
　　　レジュメ

（９）6月3日（水）6時，中島上智（日本銀行）
　　Extreme value theory and its application to stock returns
　　　レジュメ

（10）6月24日（水）6時，武岡 則男（横浜国立大学）
　　誘惑と自制のモデル：拡張の方向性
　　　Gul and Pesendorfer (2001)``Temptation and self-control,'' Econometrica
　　　Gul and Pesendorfer (2004)``Self-control and the theory of consumption,'' Econometrica
　　　Jawwad Noor and Norio Takeoka `Uphill Self-Control''
　　　レジュメ

（11）7月8日（水）6時半，林貴志（テキサス大学）
　　　Choice and Individual Welfare (with Christopher P. Chambers)
　　　レジュメ

（12）11月18日（水）6時，上東貴志（神戸大学）
　　　Stochastic Stability in Monotone Economies (with John Stachurski)
　　　Almost sure convergence to zero in stochastic growth models
　　　Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks

（13）12月25日（金）4時，浅野貴央（岡山大学）
　　　Optimal Pricing and Quality Choice of a Monopolist under Knightian Uncertainty (with Akihisa Shibata)

　カバーしていきたい文献
Lecture notes
　Theory of Decision under Uncertainty Itzhak Gilboa, July 2008
　BEHAVIORAL MODELS IN ECONOMICS AND FINANCE, Fabio Maccheroni
　Decision Theory II, Ani Guerdjikova
　　　　http://www.arts.cornell.edu/econ/guerdjikova/teaching/dth-2007/dth2007.htm
　Topics in macroeconomics ? non-standard preferences and macroeconomics, Hassler
　　　　http://hassler-j.iies.su.se/COURSES/NewPrefs/Reading.htm(リンク切れ？)
　 W. Kip Viscusi, Rational Risk Policy (The 1996 Arne Ryde Memorial Lectures), Oxford Univesity Press, 1997の第2章（Risk Beliefs and Individual Rationality）
Macroeconomic applications
　*Backus, David K., and Bryan R. Routledge, and Stanley E. Zin,, 2004, “Exotic Preference for Macroeconomics,” 2004 NBER Macroeconomics Annual
Survey (Ambiguity)
　Probability and Uncertainty in Economic Modeling, Itzhak Gilboa, Andrew W. Postlewaite, and David Schmeidler
　*Mukerji, Sujoy, and Jean-Marc. Tallon, 2003, “An Overview of Economics Applications of David Schmeidler’s Models of Decision Making under Uncertainty,” Chapter 13 in Uncertainty in Economic Theory: A collection of essays in honor of David Schmeidler's 65th birthday (I. Gilboa, Ed.), London: Routledge.
　尾崎裕之, 2004, ナイト流不確実性と均衡価格の不決定性」（西村和雄・福田慎一 編）『非線形均衡動学』第4章，東京大学出版会．
Applications (Ambiguity)
　Dow, James, and S´ergio Ribeiro da Costa Werlang, 1992, “Uncertainty aversion, risk aversion, and the optimal choice of portfolio,” Econometrica 60, 197-204.
　Epstein, Larry, and Tan Wang, 1994, “Intertemporal Asset Pricing under Knightian Uncertainty,” Econometrica, 62(3), 283?322.
　Mukerji, Sujoy, and Jean-Marc. Tallon, 2001, “Ambiguity Aversion and Incompleteness of Financial Markets,” Review of Economic Studies, 68(4), 883?904.
　Billot, A., A. Chateauneuf, I. Gilboa, and J.-M. Tallon (2000): “Sharing beliefs: between agreeing and disagreeing,” Econometrica, 68(3), 685?694.
　Chateauneuf, A., R. Dana, and J.-M. Tallon (2000): “Optimal Risk Sharing Rules and Equilibria with Choquet-Expected-Utility,” Journal of Mathematical Economics, 34, 191?214.
　Mukerji, S. (1998): “Ambiguity Aversion and Incompleteness of Contractual Form,” American Economic Review, 88(5), 1207?1231.
　Ghirardato, P. (1994): “Agency theory with non-additive uncertainty,” mimeo.
Experiments(Ambiguity)
　van de Kuilen, G., Wakker, P.P. (2006). "Learning in the Allais Paradox," Journal of Risk and Uncertainty 33: 155-164
　Eichberger, J., Kelsey, D., Schipper, B. (2008). “Granny versus Game Theorist: Ambiguity in Experimental Games”, Theory and Decision 64:333?362
　*Peter Bossaerts, Serena Guarnaschelli, Paolo Ghirardato, William Zame, 2007, Ambiguity in Asset Markets: Theory and Experiment, mimeo.
Field studies
　The Effects of Statistical Information on Risk and Ambiguity Attitudes, and on Rational Insurance Decisions, Peter P. Wakker, Danielle R. M. Timmermans, Irma Machielse
Temptation (Hyperbolic/Quasi-geometric Discounting)
　*Gul, Faruk, and Wolfgang Pesendorfer, 2004, “Self-control, revealed preference, and consumption choice,” Review of Economic Dynamics 7, 243-264.
　Harris, Christopher, and David Laibson, 2003, “Hyperbolic discounting and consumption,” Advances in Economics and Econometrics, Cambridge UK: Cambridge University Press.
　Krusell, Per, Bruhanettin Kuru，s，cu, and Anthony A. Smith, 2002, "Equilibrium Welfare and Government Policy with Quasi-geometric Discounting," Journal of Economic Theory, vol. 105(1), pages 42-72.
　Krusell, Per, Bruhanettin Kuru，s，cu, and Anthony A. Smith, 2001, “Temptation and taxation,” manuscript.
Bayesian updating of unknown structural parameters
　*Martin L. Weitzman, 2007. "Subjective Expectations and Asset-Return Puzzles," American Economic Review, American Economic Association, vol. 97(4), pages 1102-1130.
　Gollier Christian, 2008. "Ecological Discounting," Working Papers 08.18.262, LERNA, University of Toulouse.
Robust Control

Random discount factor

Recursive Utility

Behavioral Economics and Finance
　Prospect Theory: An Analysis of Decision under Risk, Daniel Kahneman and Amos Tversky
　Advances in prospect theory: Cumulative representation of uncertainty, Amos Tversky and Daniel Kahneman
　Weighing Risk and Uncertainty, Amos Tversky and Craig R. Fox
　A Belief-Based Account of Decision under Uncertainty, Craig R. Fox and Amos Tversky
　The Probability Weighting Function, Drazen Prelec
　Risk Attitudes and Decision Weights, Amos Tversky and Peter Wakker
Mechanism Design