Uncertainty Within Economic Models - 9789814578110
Un libro in lingua di Hansen Lars Peter Sargent Thomas J. edito da World Scientific Pub Co Inc, 2014
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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.
Informazioni bibliografiche
- Titolo del Libro in lingua: Uncertainty Within Economic Models
- Lingua: English
- Autori : Hansen Lars Peter Sargent Thomas J.
- Editore: World Scientific Pub Co Inc
- Collana: World Scientific Pub Co Inc (Hardcover)
- Data di Pubblicazione: 30 Settembre '14
- Genere: BUSINESS and ECONOMICS
- Pagine: 454
- EAN-13: 9789814578110