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J-GLOBAL ID：201401028328505150   Update date: Jan. 30, 2024

Wakai Katsutoshi

Wakai Katsutoshi
Affiliation and department：
Kyoto University

About Kyoto University


Job title： professor
Research field  (1)： Theoretical economics
Research theme for competitive and other funds  (7)：
  • 2021 - 2024 行動学的割引因子モデルを用いたナッシュ・リバージョン戦略の堅牢性に関する研究
  • 2017 - 2023 曖昧性回避の資産価格理論への応用:多因子モデルの導出と曖昧性因子の実証的検出
  • 2014 - 2018 Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extension
  • 2014 - 2018 Detecting structural changes in the capital markets and its application to the investment theory
  • 2011 - 2014 An behavior finance approach to asset price correlations and applications to financial engineering
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Papers (17)：
  • Katsutoshi Wakai. A Factor Pricing Model under Ambiguity: A Multi-period Framework. Discussion Paper, Graduate School of Economics, Kyoto University. 2023. E-22-012. 1-16
  • Katsutoshi Wakai. On Identification of Ambiguity Premium. Discussion Paper, Graduate School of Economics, Kyoto University. 2019. E-18-009. 1-14
  • Katsutoshi Wakai. A Factor Pricing Model under Ambiguity. Discussion Paper, Graduate School of Economics, Kyoto University. 2018. E-17-012. 1-31
  • Katsutoshi Wakai. Repeated Games with Recursive Utility: Cournot Duopoly under Gain/Loss Asymmetry. Discussion Paper, Graduate School of Economics, Kyoto University. 2016. E-16-006. 1-44
  • Katsutoshi Wakai. Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy. Discussion Paper, Graduate School of Economics, Kyoto University. 2015. E-15-010. 1-13
ｍore...
Lectures and oral presentations  (33)：
  • Repeated Games with Recursive Utility: Cournot Duopoly under Gain/Loss Asymmetry
    (Okayama University 2014)
  • Repeated Games with Recursive Utility: Cournot Duopoly under Gain/Loss Asymmetry
    (Keio University 2014)
  • Repeated Games under Recursive Utility with an Application to Gain/loss Asymmetry
    (Game Theory Workshop 2014 (at Tokyo Institute of Technology) 2014)
  • Recursive Separation between Risk Aversion and Intertemporal Substitution
    (Osaka University GCOE conference on Economic Analysis of Dynamics and Decision Theory (at Hotel Hankyu Expo Park) 2012)
  • Intertemporal Utility Smoothing: Theory and Applications
    (2012 Japanese Economic Association Spring Annual Meeting (at Hokkaido University) 2012)
ｍore...
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