WAKAI Katsutoshi 若井克俊

Researcher Number	80455708
Other IDs
Affiliation (Current)	2025: 京都大学, 経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2016 – 2023: 京都大学, 経済学研究科, 教授 2015 – 2016: 京都大学, 経済学研究科(研究院), 教授 2011 – 2014: 京都大学, 経済学研究科(研究院), 准教授 2013: 京都大学, 大学院・経済学研究科, 准教授 2008 – 2011: Kyoto University, 経済学研究科, 准教授
Review Section/Research Field	Principal Investigator Economic theory / Basic Section 07010:Economic theory-related Except Principal Investigator Money/ Finance / Public finance/Monetary economics
Keywords	Principal Investigator 意思決定論 / 経済理論 / 行動ファイナンス / 資産価格理論 / 理論経済学 / 行動経済学 / ミクロ経済学 / 意志決定論 / ゲーム理論 / 金融経済学 … More Except Principal Investigator … More 相関係数 / 資産価格理論 / 構造変化 / 最適ポートフォリオ / ジャンプ過程 / マルコフモデル / ＲＥＩＴ / 金融論 / ファイナンス工学 / 最終通過時刻 / レバレッジ比率 / 債権証券化 / 変位理論 / 証券化プログラム / マルコフ過程 / REIT / クレジットリスク / 効率的ポートフォリオ / 相関 / 行動学的分析 / ファイナンス / ジャンプモデル / レジームスイッチ / ファンドマネージメント / 流動性 / 行動学的要因 / 資産価格相関 Less

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Principal Investigator
- Principal Investigator
  
  若井克俊
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07010:Economic theory-related
- Research Institution
  Kyoto University
An application of ambiguity aversion to asset pricing theory: derivation and estimation of an ambiguity-augmented factor pricing modelPrincipal Investigator
- Principal Investigator
  
  Wakai Katsutoshi
- Project Period (FY)
  2017 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic theory
- Research Institution
  Kyoto University
Detecting structural changes in the capital markets and its application to the investment theory
- Principal Investigator
  
  Egami Masahiko
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Kyoto University
Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extensionPrincipal Investigator
- Principal Investigator
  
  Katsutoshi Wakai
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic theory
- Research Institution
  Kyoto University
An behavior finance approach to asset price correlations and applications to financial engineering
- Principal Investigator
  
  EGAMI Masahiko
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Kyoto University
On Applications of Utility Smoothing to Game Theory and Investment TheoryPrincipal Investigator
- Principal Investigator
  
  WAKAI Katsutoshi
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic theory
- Research Institution
  Kyoto University
An Economic Analysis of Utility SmoothingPrincipal Investigator
- Principal Investigator
  
  WAKAI Katsutoshi
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic theory
- Research Institution
  Kyoto University

All 2023 2019 2018 2014 2013 2012 2011 2010 2009 Other

All Journal Article Presentation

[Journal Article] A Factor Pricing Model under Ambiguity: A Multi-Period Framework2023
- Author(s)
  Katsutoshi Wakai
- Journal Title
  
  Graduate School of Economics Discussion Paper Series, Kyoto University
  
  Volume: E-22-012 Pages: 1-16
- Open Access
- Data Source
  KAKENHI-PROJECT-17K03622
[Journal Article] On Identification of Ambiguity Premium2019
- Author(s)
  若井克俊
- Journal Title
  
  Kyoto University, Graduate School of Economics, Discussion Paper Series
  
  Volume: E-18-009 Pages: 1-14
- Open Access
- Data Source
  KAKENHI-PROJECT-17K03622
[Journal Article] A Factor Pricing Model under Ambiguity2018
- Author(s)
  若井克俊
- Journal Title
  
  Kyoto University, Graduate School of Economics, Discussion Paper Series
  
  Volume: E-17-012 Pages: 1-31
- Open Access
- Data Source
  KAKENHI-PROJECT-26380235
[Journal Article] A Factor Pricing Model under Ambiguity2018
- Author(s)
  若井克俊
- Journal Title
  
  Kyoto University, Graduate School of Economics, Discussion Paper Series
  
  Volume: E-17-012 Pages: 1-31
- Open Access
- Data Source
  KAKENHI-PROJECT-17K03622
[Journal Article] Observational equivalence and nonequivalence of subjective and robust mean--variance preferences2014
- Author(s)
  K. Wakai
- Journal Title
  
  Economics Letters
  
  Volume: 124 Issue: 2 Pages: 219-221
- DOI
  10.1016/j.econlet.2014.05.019
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] The change of correlation structure across industries : An analysis in the regime switching framework2014
- Author(s)
  M.Egami, Y.Shigeta, and K.Wakai
- Journal Title
  
  京都大学経済学部ディスカッションペーパー
- URL
  http://www.econ.kyoto-u.ac.jp/projectcenter/Paper/e-14-002.pdf
- Data Source
  KAKENHI-PROJECT-23330104
[Journal Article] An alternative axiomatization of intertemporal utility smoothing2013
- Author(s)
  若井　克俊
- Journal Title
  
  Economics Letters
  
  Volume: 119 Issue: 2 Pages: 224-227
- DOI
  10.1016/j.econlet.2013.02.025
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23530219
[Journal Article] Intertemporal utility smoothing: Theory and Applications2013
- Author(s)
  若井　克俊
- Journal Title
  
  The Japanese Economic Review
  
  Volume: Volume 64, Issue 1 Issue: 1 Pages: 16-41
- DOI
  10.1111/j.1468-5876.2012.00587.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23530219
[Journal Article] Intertemporal utility smoothing under uncertainty2013
- Author(s)
  若井　克俊
- Journal Title
  
  Theory and Decision
  
  Volume: Volume 74, Issue 2 Issue: 2 Pages: 285-310
- DOI
  10.1007/s11238-012-9304-9
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23530219
[Journal Article] An Infinite-horizon Model of Nonmonotone Utility Smoothing2012
- Author(s)
  若井克俊
- Journal Title
  
  Economics Letters
  
  Volume: Vol.116(2) Issue: 2 Pages: 170-173
- DOI
  10.1016/j.econlet.2012.02.011
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23530219
[Journal Article] Modeling Nonmonotone Preferences : The Case of Utility Smoothing「2011年2月22日付で掲載確定通知あり」
- Author(s)
  若井克俊
- Journal Title
  
  Journal of Mathematical Economics
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530146
[Journal Article] Modeling Non-monotone Pre ferences : The Case of Utility Smoothing
- Author(s)
  若井克俊
- Journal Title
  
  Journal of Mathematical Econom ics
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Repeated Games under Recursive Utility with an Application to Gain/loss Asymmetry(関口格氏との共著)2014
- Author(s)
  若井克俊
- Organizer
  ゲーム理論ワークショップ2014
- Place of Presentation
  東京工業大学大岡山キャンパス(東京都)
- Year and Date
  2014-03-03
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] The change of correlation structure across industries: Ａn analysis in the regime switching frameworｋ2013
- Author(s)
  重田雄樹（江上雅彦・若井克俊の共著者）
- Organizer
  日本ファイナンス学会２１回大会
- Place of Presentation
  武蔵大学江古田キャンパス
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] The change of correlation structure across industries2013
- Author(s)
  江上雅彦, 重田雄樹, 若井克俊
- Organizer
  日本ファイナンス学会第21回大会
- Place of Presentation
  武蔵大学
- Data Source
  KAKENHI-PROJECT-23330104
[Presentation] A infinite-horizon Model of Nonmonotone Utility Smoothing2012
- Author(s)
  若井克俊
- Organizer
  立命館大学経済学部研究推進プロジェクト(インセンティブとコミットメント)セミナー「一般均衡理論のフロンティア」
- Place of Presentation
  立命館大学朱雀キャンパス(京都府)
- Year and Date
  2012-05-19
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] An Infinite-horizon Model of Nonmonotone Utility Smoothing2012
- Author(s)
  若井　克俊
- Organizer
  2012 Edition of Hitotsubashi GCOE Conference on Choice, Games, and Welfare
- Place of Presentation
  一橋大学経済学研究科（東京都）
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] An Infinite-horizon Model of Nonmonotone Utility Smoothing2012
- Author(s)
  若井克俊
- Organizer
  2012 Edition of Hitotsubashi GCOE Conference on Choice, Games, and Welfare
- Place of Presentation
  一橋大学経済学研究科(東京都)
- Year and Date
  2012-02-18
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] Intertemporal Utility Smoothing : Theory and Applications2012
- Author(s)
  若井克俊
- Organizer
  日本経済学会2012年度春季大会
- Place of Presentation
  北海道大学(北海道)
- Year and Date
  2012-06-23
- Invited
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] Recursive Separation between Risk Aversion and Intertemporal Substitution2012
- Author(s)
  若井克俊
- Organizer
  大阪大学グローバルCOE「ダイナミクスと選好の経済分析コンファレンス」
- Place of Presentation
  ホテル阪急エキスポパーク(大阪府)
- Year and Date
  2012-11-23
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] A Model of Stochastic Utility Smoothing2011
- Author(s)
  若井克俊
- Organizer
  北海道大学経済学研究科近代経済学研究会
- Place of Presentation
  北海道大学経済学研究科(北海道)
- Year and Date
  2011-02-18
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Loss Aversion in Recursive Preferences2011
- Author(s)
  若井　克俊
- Organizer
  京都大学数理解析研究所研究集会
- Place of Presentation
  同志社大学（京都府）
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] Loss Aversion in Recursive Preferences2011
- Author(s)
  若井克俊
- Organizer
  京都大学数理解析研究所研究集会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2011-10-26
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] A Model of Stochastic Utility Smoothing2010
- Author(s)
  若井克俊
- Organizer
  一橋大学経済理論ワークショップ
- Place of Presentation
  一橋大学経済学研究科(東京都)
- Year and Date
  2010-12-02
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] A Model of Stochastic Utility Smoothing2010
- Author(s)
  若井克俊
- Organizer
  日本経済学会2010年度秋季大会
- Place of Presentation
  関西学院大学(兵庫県)
- Year and Date
  2010-09-19
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : The Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  月曜セミナー「経済の数理解析」
- Place of Presentation
  慶應義塾大学経済学部
- Year and Date
  2009-06-29
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] A Model of Stochastic Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  2009 Far East and South Asia Meeting of the Econometric Society
- Place of Presentation
  東京大学経済学部
- Year and Date
  2009-08-03
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : In the Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  東京大学経済学研究科ミクロワークショップ(Microeconomics Workshop)
- Place of Presentation
  東京大学経済学研究科(東京都)
- Year and Date
  2009-03-10
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] A Model of Stochastic Uti lity Smoothing2009
- Author(s)
  若井克俊
- Organizer
  2009 Far East and South Asia Meeting of the Econometric Society
- Place of Presentation
  東京大学経済学部(東京都)
- Year and Date
  2009-08-03
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Two Extensions of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  神戸大学経済学研究科六甲台セオリーセミナー
- Place of Presentation
  神戸大学経済学研究科(兵庫県)
- Year and Date
  2009-01-19
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : In the Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  ミクロワークショップ(Microeconomics Workshop)
- Place of Presentation
  東京大学経済学研究科
- Year and Date
  2009-03-10
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Two Extensions of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  六甲台セオリーセミナー
- Place of Presentation
  神戸大学経済学研究科
- Year and Date
  2009-01-19
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : The Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  北海道大学経済学研究科(北海道)
- Year and Date
  2009-08-12
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : The Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  月曜セミナー「経済の数理解析」
- Place of Presentation
  慶應義塾大学経済学部(東京都)
- Year and Date
  2009-06-29
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Modeling Non-Monotone Preference : The Case of Utility Smoothing2009
- Author(s)
  若井克俊
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  北海道大学経済学研究科
- Year and Date
  2009-08-12
- Data Source
  KAKENHI-PROJECT-20530146
[Presentation] Recursive Separation between Risk Aversion and Intertemporal Substitution
- Author(s)
  若井　克俊
- Organizer
  大阪大学グローバルCOE 「ダイナミクスと選好の経済分析コンファレンス」
- Place of Presentation
  ホテル阪急エキスポパーク
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] Intertemporal Utility Smoothing: Theory and Applications
- Author(s)
  若井　克俊
- Organizer
  日本経済学会2012年度春季大会
- Place of Presentation
  北海道大学
- Invited
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] A infinite-horizon Model of Nonmonotone Utility Smoothing
- Author(s)
  若井　克俊
- Organizer
  立命館大学経済学部研究推進プロジェクト（インセンティブとコミットメント）セミナー「一般均衡理論のフロンティア」
- Place of Presentation
  立命館大学朱雀キャンパス
- Data Source
  KAKENHI-PROJECT-23530219
[Presentation] Repeated Games under Recursive Utility with an Application to Gain/loss Asymmetry
- Author(s)
  若井克俊
- Organizer
  ゲーム理論ワークショップ2014
- Place of Presentation
  東京工業大学大岡山キャンパス
- Data Source
  KAKENHI-PROJECT-23530219

1. EGAMI Masahiko (40467395)

# of Collaborated Projects: 2 results

# of Collaborated Products: 3 results

WAKAI Katsutoshi 若井 克俊

Research Projects

Research Products

Co-Researchers

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Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

An application of ambiguity aversion to asset pricing theory: derivation and estimation of an ambiguity-augmented factor pricing modelPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Detecting structural changes in the capital markets and its application to the investment theory

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Applied analysis of ambiguity-augumented mean-variance preferences and its dynamic extensionPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

An behavior finance approach to asset price correlations and applications to financial engineering

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

On Applications of Utility Smoothing to Game Theory and Investment TheoryPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

An Economic Analysis of Utility SmoothingPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] A Factor Pricing Model under Ambiguity: A Multi-Period Framework2023

Author(s)

Journal Title

Data Source

[Journal Article] On Identification of Ambiguity Premium2019

Author(s)

Journal Title

Data Source

[Journal Article] A Factor Pricing Model under Ambiguity2018

Author(s)

Journal Title

Data Source

[Journal Article] A Factor Pricing Model under Ambiguity2018

Author(s)

Journal Title

Data Source

[Journal Article] Observational equivalence and nonequivalence of subjective and robust mean--variance preferences2014

Author(s)

Journal Title

DOI

Data Source

[Journal Article] The change of correlation structure across industries : An analysis in the regime switching framework2014

Author(s)

Journal Title

URL

Data Source

[Journal Article] An alternative axiomatization of intertemporal utility smoothing2013

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Intertemporal utility smoothing: Theory and Applications2013

Author(s)

Journal Title

WAKAI Katsutoshi 若井克俊