Comparative Risk Aversion under Background Risks Revisited

This note determines a sufficient condition on (von Neumann-Morgenstern) utility functions to preserve (reserve) comparative risk aversion under general background risks. Our condition is weaker than the one determined by Nachman (1982, Journal of Economic Theory). Nachmanfs condition requires the monotonicity in the global sense, in other hand our condition only requires it in the local sense. And this generalization may make the condition on utility functions to hold the desirable property consisitent with the recent empirical observation.Background risk, comparative risk aversion, single crossing condition.

The Monotonicity of Asset Prices with Changes in Risk

The goal of this paper is the examination of the conditions on preferences to guarantee the monotonicity of asset prices, when their returns change in the sense of first- and second-order stochastic dominances.Asset Price; Comparative Statics; First-order Stochastic Dominance; Second-order Stochastic Dominance.

The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.Bull and Bear Market Measure, Comparative Statics, Equilibrium Asset Price, Dividend-Monotone Asset, Total Positivity of Order 2

The Comparative Statics of Equilibrium Derivative Prices

We examine the conditions for preferences and risks that guarantee monotonicity of equilibrium derivative prices. In a Lucas economy with a derivative, we derive the equilibrium derivative price under expectation with respect to risk-neutral probability, and analyze comparative statics on the equilibrium derivative price based on the risk-neutral probability.Equilibrium Derivative Price, First-order Stochastic Dominance, Noise Risk, Risk-Neutral Probability.

追従眼球運動から推測されたヒト視覚系の時間インパルス応答関数

京都大学0048新制・課程博士博士(医学)甲第20259号医博第4218号新制||医||1020(附属図書館)京都大学大学院医学研究科医学専攻(主査)教授 渡邉 大, 教授 林 康紀, 教授 髙橋 良輔学位規則第4条第1項該当Doctor of Medical ScienceKyoto UniversityDFA

Application of the path optimization method to a discrete spin system

The path optimization method, which is proposed to control the sign problem in quantum field theories with continuous degrees of freedom by machine learning, is applied to a spin model with discrete degrees of freedom. The path optimization method is applied by replacing the spins with dynamical variables via the Hubbard-Stratonovich transformation, and the sum with the integral. The one-dimensional (Lenz-)Ising model with a complex coupling constant is used as a laboratory for the sign problem in the spin model. The average phase factor is enhanced by the path optimization method, indicating that the method can weaken the sign problem. Our result reproduces the analytic values with controlled statistical errors.Comment: 8 pages, 5 figures, version accepted for publication in Phys. Rev.