ENGLISH

Uncertainty within Economic Models

By Lars Peter Hansen , Thomas J Sargent

Book information

Publisher
World Scientific Publishing Company
Year
2014
ISBN
9814578118, 9789814578110
Language
english
Format
PDF
Filesize
3 MB (3284266 bytes)
Series
World Scientific Series in Economic Theory
Edition
1
Pages
450\483
Scanned
yes
Time added
2014-10-11 11:17:35
Финансово-экономические дисциплины;Математические

Description

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.

Similar books