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Uncertainty Within Economic Models

Name: Uncertainty Within Economic Models
Brand: World Scientific
SKU: 41348225
Price: 42.99 EUR
Availability: InStock
Author: Hansen Lars Peter Hansen
ISBN: 9789814578134

Hansen Lars Peter Hansen

Sargent Thomas J Sargent

Language

English

E-book Adobe ePub DRM

Libristo code: 41348225

Publishers World Scientific, September 2014

Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate... Full description

Libristo code: 41348225

105 b

42.99 € VAT included

In stock Immediate digital delivery

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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.