Summary and Info
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.
More About the Author
Lars Peter Hansen (born 26 October 1952 in Champaign, Illinois) is an American economist. He is David Rockefeller Distinguished Service Professor of economics at the University of Chicago and 2013 recipient of the Nobel Memorial Prize in Economics.
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