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Uncertainty Within Economic Models

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AuthorHansen Lars Peter Et Al
ISBN9789814578110
Published LanguageEnglish
Publication Year2014
PublisherWorld Scientific
BindingHardback
Original Price$174.00
Pages484
Ships By7-8 days

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.

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Author

ISBN

Published Language

Publication Year

Publisher

Binding

Original Price

Pages

484

Ships By

7-8 days