World Scientific Series In Economic Theory: Uncertainty Within Economic Models (ePub)
(Sprache: Englisch)
Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance....
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Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.Contents:IntroductionDiscounted Linear Exponential Quadratic Gaussian ControlRobust Permanent Income and PricingA Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model DetectionRobust Control and Model UncertaintyRobust Control and Model MisspecificationDoubts or Variability?Robust Estimation and Control without CommitmentFragile Beliefs and the Price of UncertaintyBeliefs, Doubts and Learning: Valuing Macroeconomic RiskThree Types of AmbiguityReadership: Graduate students; researchers and economists interested in Econometrics; Macroeconomics and Dynamic Programming.Key Features:A collection of papers adapting and applying robust control theory to problems in economics and financeBrings together works by two active researchers in the field and their coauthorsIncludes an introduction to link the papers and tell how they fit within broader efforts to improve macroeconomic and finance theories
Bibliographische Angaben
- Autoren: Lars Peter Hansen , Thomas J Sargent
- 2014, 484 Seiten, Englisch
- Verlag: World Scientific Publishing Company
- ISBN-10: 9814578134
- ISBN-13: 9789814578134
- Erscheinungsdatum: 09.09.2014
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- Dateiformat: ePub
- Größe: 19 MB
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Sprache:
Englisch
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