Lars Peter Hansen
Auteur van Robustness
Over de Auteur
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 toon meer 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. toon minder
Werken van Lars Peter Hansen
Recursive Models of Dynamic Linear Economies (The Gorman Lectures in Economics) (2013) 12 exemplaren
Tagged
Algemene kennis
- Organisaties
- The Church of Jesus Christ of Latter-day Saints
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Robustness door Lars Peter Hansen
A truly remarkable work of fiction: so chock full of proofs and scalar product operations, even knowledgeable readers will be tempted to believe that economics is after all a science. But, alas, it is nearly all bullshit. Interesting contributions are the use of min-max in a valiant attempt to attribute rationality to the irrational behavior of the fabled homo economicus, and work to distinguish between market price of model uncertainty and market price of risk.
Statistieken
- Werken
- 4
- Leden
- 36
- Populariteit
- #397,831
- Waardering
- 2.5
- Besprekingen
- 1
- ISBNs
- 15