Uncertainty Within Economic Models Hardback
by Lars Peter (Univ Of Chicago & The National Bureau Of Economic Research, Usa) Hansen, Thomas J (New York Univ & Hoover Inst, Usa) Sargent
Part of the World Scientific Series In Economic Theory series
Hardback
Description
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.
Information
-
Out of stock
- Format:Hardback
- Pages:484 pages
- Publisher:World Scientific Publishing Co Pte Ltd
- Publication Date:05/11/2014
- Category:
- ISBN:9789814578110
Information
-
Out of stock
- Format:Hardback
- Pages:484 pages
- Publisher:World Scientific Publishing Co Pte Ltd
- Publication Date:05/11/2014
- Category:
- ISBN:9789814578110
