Uncertainty within economic models:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hackensack, NJ [u.a.]
World Scientific
2015
|
| Series: | World scientific series in economic theory
6 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXVII, 454 S. Ill., graph. Darst. |
| ISBN: | 9789814578110 9814578118 |
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MARC
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| 100 | 1 | |a Hansen, Lars Peter |d 1952- |e Verfasser |0 (DE-588)130587087 |4 aut | |
| 245 | 1 | 0 | |a Uncertainty within economic models |c Lars Peter Hansen ; Thomas J. Sargent |
| 264 | 1 | |a Hackensack, NJ [u.a.] |b World Scientific |c 2015 | |
| 300 | |a XXVII, 454 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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Record in the Search Index
| _version_ | 1804151658830102528 |
|---|---|
| adam_text | Contents
Foreword
vii
Pmfaœ
ix
Acknowledgements
xiii
Ahotii
tlie
Authors
xv
List of
Fifi
w
es
xxv
List of
Ћго1ев
xxvii
1.
Introduction
1
1.1
Questions about Model Uncertainty
............ 1
1.2
Ten Papers about Model Uncertainty
........... 8
2.
Discounted Linear Exponential Quadratic
Gaussian Control
23
2.1
Cost Formulation
...................... 23
2.2
Cost Recursions and Aggregator Functions
........ 24
2.3
Infinite Horizon Costs
.................... 26
2.4
Arbitrary Time-invariant Linear Control Laws
...... 27
2.5
Solution to the Infinite Horizon
Discounted Problem
..................... 29
2.6
Summary
........................... 32
3.
Robust Permanent Income and Pricing
33
trifft
Tilomas
D.
Tallarín i
З Л
Introduction
......................... 33
3.2
Recursive Risk Sensitive Control
.............. 36
XIX
xx
Conteni»
3.3
Robust Permanent
Incorno
Tlu
югу
............ 42
3.4
Estimation
.......................... 49
З.б
Asset Pricing
........................ 57
3.6
Quantifying Robustness from the Market
Price of Risk
.........................
C2
3.7
Intertemporal
Mean-risk Trade-offs
............ 69
3.8
Conclusions
......................... 75
Appendix 3.A Subgradieiit Inequality
.............. 77
Appendix 3-B Computing Prices for State-contingent
Utility
....................... 78
Appendix 3.C Computing the Conditional Variance
of the Stochastic Discount Factor
........ 79
4.
A Quartet of Semigroups for Model Specification,
Robustness, Prices of Risk, and Model Detection
83
wUh Evan W. Anderson
4.1
Introduction
......................... 83
4.2
Overview
........................... 88
4.3
Mathematical Preliminaries
................ 91
4.4
A Tour of Four Semigroups
................. 97
4.5
Model Misspecification and Robust Control
....... 100
4.6
Portfolio Allocation
..................... 107
4.7
Pricing Risky Claims
.................... 112
4.8
Statistical Discrimination
.................. 118
4.9
Entropy and the Market Price of Uncertainty
...... 129
4.10
C(including Remarks
.................... 140
Appendix 4.A Proof of Theorem
4.5.1.............. 142
5.
Robust Control and Model Uncertainty
145
5.1
Introduction
......................... 145
5.2
A Benchmark Resource Allocation Problem
....... 146
5.3
Model Misspecincation
................... 146
5.4
Two Robust Control Problems
............... 148
5.5
Recursivity of the Multiplier Formulation
......... 149
5.6
Two Preference Ordering«
................. 150
5.7
Recursivity of the Preference Ordering*
.......... 152
5.8
Concluding Remarks
.................... 153
Contents xxi
6. Robust
Control
and Model
Misspecification
155
with Gauhar A. Turmuhambetova and Noah Williams
6.1
Introduction
......................... 155
6.2
Overview
........................... 159
6.3
Three Ordinary Control Problems
............ 165
6.4
Fear of Model Misspecification
............... 170
6.5
Two Robust Control Problems Defined on Sets
of Probability Measures
................... 171
6.6
Games on Fixed Probability Spaces
............ 180
6.7
Sequential Timing Protocol for a Penalty
Formulation
......................... 186
6.8
Sequential Timing Protocol for a Constraint
Formulation
.......................... 190
6.9
A Recursive Multiple Priors Formulation
......... 197
6.10
Concluding Remarks
.................... 201
Appendix 6.A Cast of Characters
................ 203
Appendix
6.
В
Discounted Entropy
................ 204
Appendix
6.
С
Absolute Continuity of Solutions
........ 208
Appendix
6.
D
Three Ways to Verify Bellman Isaacs
Condition
..................... 210
Appendix
6.
E
Recursive Staekciberg Game
and Bayesian Problem
.............. 213
7.
Doubts or Variability?
217
with Francisco Barillas
7.1
Introduction
......................... 217
7.2
The Equity Premium and Risk-free Rate Puzzles
.... 239
7.3
The Choice Setting
..................... 222
7.4
A Type I Agent: Kreps-
Portens
Epstein-
Zm Tallarini
......................... 225
7.5
A Type I Agent Economy with High Risk Aversion
Attains
Ш
Bound
...................... 227
7.6
Reinterpret
a t
ions
......................
22S
7.7
Reinterpreting Tallarini
................... 238
7.8
Welfare Gains from Eliminating Model Uncertainty
. . . 243
xxii
Contenta
7.9
Dogmatic
Bayesiaiis
and Learning
............. 251
7.10
Concluding Remarks
.................... 253
Appendix 7.A Formulas for Trend Stationary Model
...... 254
8.
Robust Estimation and Control
without Commitment
257
8.1
Introduction
......................... 257
8.2
A Control Problem without Model Uncertainty
..... 261
8.3
using Martingales to Represent
Model Misspecifications
................... 265
8.4
Two Pairs of Operators
................... 267
8.5
Control Problems with Model Uncertainty
........ 270
8.6
The
θχ
= 02
Case
...................... 276
8.7
Implied Worst Case Model of Signal Distortion
...... 284
8.8
A Recursive Multiple Priors Model
............ 286
8.9
Risk Sensitivity and Compound Lotteries
......... 287
8.10
Another Example
...................... 288
8.11
Concluding Remarks
.................... 290
9.
Fragile Beliefs and the Price of Uncertainty
293
9.1
Introduction
......................... 293
9.2
Stochastic Discounting and Risks
............. 296
9.3
Three Information Structures
............... 301
9.4
Risk Prices
.......................... 303
9.5
A Full-Information Perspective on Agents Learning
. . . 304
9.6
Price Effects of Concerns About Robustness
....... 307
9.7
Illustrating the Mechanism
................. 315
9.8
Concluding Remarks
.................... 327
Appendix
9.
A Detection Error Probabilities
.......... 329
10.
Beliefs, Doubts and Learning: Valuing
Macroeconomic
Risk
331
by Lars Peim·
Hansen
10.1
Introduction
......................... 331
10.2
Rational Expectations and Econometrics
......... 333
10.3
Statistical Precision
..................... 338
10.4
Risk Prices and Statistical Ambiguity
........... 343
10.5
Statistical Challenges
.................... 347
10.0
Learning
.......................... . 352
Contents
xxiii
10.7
Beliefs and Preferences
................... 360
10.8
Learning and Uncertainty
Premia
............. 365
10.9
Extensions
.......................... 375
10.10
Conclusion
.......................... 376
11.
Three Types of Ambiguity
379
11.1
Illustrative Model
...................... 385
11.2
No Concern about Robustness
............... 386
11.3
Representing Probability Distortions
........... 392
11.4
The First Type of Ambiguity
............... 394
11.5
Heterogeneous Beliefs without Robustness
........ 101
11.6
The Second Type of Ambiguity
.............. 108
11.7
The Third Type of Ambiguity
............... 409
11.8
Comparisons
......................... 41.2
11.9
Numerical Example
..................... 418
11.10
Concluding Remarks
.................... 424
Appendix
11.
A Some Basic Proofs
................ 425
Appendix
11.
В
Example without Robustness
.......... 426
Appendix
11.
С
Example with First Type of Ambiguity
.... 428
Appendix
11.
D
Sensitivity to Robustness
............ 430
Bibliography
431
Author Index
447
Subject Index
453
|
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| id | DE-604.BV041550254 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:58:19Z |
| institution | BVB |
| isbn | 9789814578110 9814578118 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026996021 |
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| physical | XXVII, 454 S. Ill., graph. Darst. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | World Scientific |
| record_format | marc |
| series | World scientific series in economic theory |
| series2 | World scientific series in economic theory |
| spelling | Hansen, Lars Peter 1952- Verfasser (DE-588)130587087 aut Uncertainty within economic models Lars Peter Hansen ; Thomas J. Sargent Hackensack, NJ [u.a.] World Scientific 2015 XXVII, 454 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier World scientific series in economic theory 6 Wirtschaftsmodell (DE-588)4079348-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Unsicherheit (DE-588)4186957-6 gnd rswk-swf Wirtschaftsmodell (DE-588)4079348-5 s Unsicherheit (DE-588)4186957-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Sargent, Thomas J. 1943- Verfasser (DE-588)118751298 aut World scientific series in economic theory 6 (DE-604)BV040529616 6 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026996021&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hansen, Lars Peter 1952- Sargent, Thomas J. 1943- Uncertainty within economic models World scientific series in economic theory Wirtschaftsmodell (DE-588)4079348-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Unsicherheit (DE-588)4186957-6 gnd |
| subject_GND | (DE-588)4079348-5 (DE-588)4114528-8 (DE-588)4186957-6 |
| title | Uncertainty within economic models |
| title_auth | Uncertainty within economic models |
| title_exact_search | Uncertainty within economic models |
| title_full | Uncertainty within economic models Lars Peter Hansen ; Thomas J. Sargent |
| title_fullStr | Uncertainty within economic models Lars Peter Hansen ; Thomas J. Sargent |
| title_full_unstemmed | Uncertainty within economic models Lars Peter Hansen ; Thomas J. Sargent |
| title_short | Uncertainty within economic models |
| title_sort | uncertainty within economic models |
| topic | Wirtschaftsmodell (DE-588)4079348-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Unsicherheit (DE-588)4186957-6 gnd |
| topic_facet | Wirtschaftsmodell Mathematisches Modell Unsicherheit |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026996021&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040529616 |
| work_keys_str_mv | AT hansenlarspeter uncertaintywithineconomicmodels AT sargentthomasj uncertaintywithineconomicmodels |