Uncertainty Within Economic Models / Najlacnejšie knihy
Uncertainty Within Economic Models

Code: 05071206

Uncertainty Within Economic Models

by Thomas J. Sargent, Lars Peter Hansen

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 mode ... more

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Book synopsis

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.

Book details

Book category Books in English Economics, finance, business & management Economics Econometrics

174.41

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