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Uncertainty within Economic Models: Volume 6 (World Scientific Series in Economic Theory)

Lars Peter Hansen

0/5 ( ratings)

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: 482

Format: Kindle Edition

Publisher: WSPC

Release: September 09, 2014

Uncertainty within Economic Models: Volume 6 (World Scientific Series in Economic Theory)

Lars Peter Hansen

0/5 ( ratings)

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: 482

Format: Kindle Edition

Publisher: WSPC

Release: September 09, 2014

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