Uncertainty Within Economic Models

Uncertainty Within Economic Models

by Lars Peter Hansen, Thomas J Sargent
     
 

View All Available Formats & Editions

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

Overview

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.

Product Details

ISBN-13:
9789814578110
Publisher:
World Scientific Publishing Company, Incorporated
Publication date:
09/10/2014
Series:
World Scientific Series In Economic Theory Series, #6
Pages:
484
Product dimensions:
5.90(w) x 9.10(h) x 1.10(d)

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >