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(Ebook) Uncertainty within Economic Models by Lars Peter Hansen, Thomas J Sargent ISBN 9789814578110, 9814578118

  • SKU: EBN-4913258
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Authors:Lars Peter Hansen, Thomas J Sargent
Pages:450 pages.
Year:2014
Editon:1
Publisher:World Scientific Publishing Company
Language:english
File Size:3.13 MB
Format:pdf
ISBNS:9789814578110, 9814578118
Categories: Ebooks

Product desciption

(Ebook) Uncertainty within Economic Models by Lars Peter Hansen, Thomas J Sargent ISBN 9789814578110, 9814578118

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.
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