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Uncertainty Within Economic Models

Uncertainty Within Economic Models

Lars Peter Hansen
4/5 ( ratings)
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Written by Lars Peter Hansen and Thomas Sargent , 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.
Pages
484
Format
Hardcover
Publisher
World Scientific Publishing Company
Release
November 30, 2014
ISBN
9814578118
ISBN 13
9789814578110

Uncertainty Within Economic Models

Lars Peter Hansen
4/5 ( ratings)
Read Download
Written by Lars Peter Hansen and Thomas Sargent , 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.
Pages
484
Format
Hardcover
Publisher
World Scientific Publishing Company
Release
November 30, 2014
ISBN
9814578118
ISBN 13
9789814578110

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