Uncertainty within Economic Models
Lars Peter Hansen, Thomas J Sargent
Uncertainty within Economic Models is a collection of papers 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.
Kategorien:
Jahr:
2014
Auflage:
1
Verlag:
World Scientific Publishing Company
Sprache:
english
Seiten:
450
ISBN 10:
9814578118
ISBN 13:
9789814578110
Serien:
World Scientific Series in Economic Theory
Datei:
PDF, 3.13 MB
IPFS:
,
english, 2014