About my research
My research is focused on the microeconomic approach to financial markets. In particular, I attempt to explain otherwise mysterios variations of asset price based on the interplay between the real sector, which comprises goods and other markets, and the financial sector, which comprises stocks and other markets. I have recently been working on the impact of investor heterogeneity on asset prices and the optimal portfolios of ambiguity-averse investors.
“Commission-revenue maximization in a general equilibrium model of asset creation,” Journal of Economic Theory, vol. 65, No. 1 (February 1995), pp. 258-298.
“Existence of equilibria in economies with bads,” Econometrica, vol. 73, no. 2 (March 2005), pp. 647-658.
“Bargaining set and anonymous core without the monotonicity assumption,” Journal of Mathematical Economics, vol. 41, no. 4-5 (August 2005), pp. 545-556.
“Representative consumer’s risk aversion and efficient risk-sharing rules,” joint paper with James Huang and Christoph Kuzmics, Journal of Economic Theory, vol.137 (2007) pp. 652-672.
“Continuity and egalitarianism in the evaluation of infinite utility streams,” joint paper with Tomoichi Shinotsuka, Kotaro Suzumura, and Yongsheng Xu, Social Choice and Welfare, vol. 31 (2008) pp. 179-191.
“Heterogeneous impatience in a continuous-time model,” Mathematics and Financial Economics, vol. 2 (2009) pp. 129-149.
“Pareto improvement and agenda control of sequential financial innovations”, Journal of Mathematical Economics, vol. 47 (2011) pp. 336-345.
“Implied Ambiguity: Mean-Variance Efficiency and Pricing Errors” joint paper with Toshiki Honda KIER Discussion Paper No.1004 (October 2018)
“Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets” Discussion Paper No.1005 (October 2018 )
“Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer” KIER Discussion Paper Series No.1009 (May 2019)
“A Ranking over “More Risk Averse Than” Relations and its Application to the Smooth Ambiguity Model,” KIER Discussion Paper Series No.1019 (January 2020)