Uncertainty Within Economic Models

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.

Product details

• Authors: Lars Peter Hansen, Lars Peter (Univ Of Chicago & The National Bureau Of Economic Research Hansen, Hansen Lars Peter, Lars Peter Hansen & Thomas J Sargent, Thomas J Sargent, Thomas J (New York Univ & Hoover Inst Sargent, Thomas J. Sargent
• Publisher: World Scientific
• Languages: English
• Product format: Hardback
• Released: 31.12.2019
• EAN: 9789814578110
• ISBN: 978-981-4578-11-0
• No. of pages: 484
• Dimensions: 157 mm x 235 mm x 30 mm
• Weight: 845 g
• Series: World Scientific Series in Eco; World Scientific Series In Economic Theory; World Scientific Series In Economic Theory; World Scientific Economic Theo
• Subject: Social sciences, law, business > Business > Economics