東京都立大学特任教授
研究内容
研究の主眼は，ミクロ経済学の手法を用いて金融市場を分析することにある．特に，消費財市場などより成る実物セクターと株式市場などより成る金融セクターの相互依存関係から，一見不可解な資産価格の変動などを明快に説明することを目指す．近年は投資家の異質性が資産価格に及ぼす影響や，曖昧さを回避する傾向を持つ投資家の最適ポートフォリオの特徴を研究している．
主要成果
“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)
“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.