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.
- ISBN13 9789814578110
- Publish Date 5 November 2014 (first published 1 January 2014)
- Publish Status Active
- Publish Country SG
- Imprint World Scientific Publishing Co Pte Ltd
- Format Hardcover
- Pages 484
- Language English
- URL https://worldscientific.com/worldscibooks/10.1142/9028