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Uncertainty Within Economic Models - World Scientific Series In Economic Theory Hansen, Lars Peter (Univ Of Chicago & The National Bureau Of Economic Research, Usa) 1st edition
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Uncertainty Within Economic Models - World Scientific Series In Economic Theory
Hansen, Lars Peter (Univ Of Chicago & The National Bureau Of Economic Research, Usa)
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.
450 pages
| Media | Books Hardcover Book (Book with hard spine and cover) |
| Released | November 5, 2014 |
| ISBN13 | 9789814578110 |
| Publishers | World Scientific Publishing Co Pte Ltd |
| Pages | 484 |
| Dimensions | 157 × 236 × 30 mm · 854 g |
| Language | English |
