| Titre : | Uncertainty within economic models |
| Auteurs : | Lars Peter Hansen, Auteur ; Thomas J. Sargent, Auteur ; Eric Maskin, Préfacier, etc. |
| Type de document : | Ouvrages |
| Editeur : | Hackensack : World Scientific, 2015 |
| Collection : | World scientific series in economic theory, ISSN 2251-2071, num. vol. 6 |
| ISBN/ISSN/EAN : | 978-981-4578-11-0 |
| Format : | 1 vol. (XXVII-454 p.) / graph. / 24 cm |
| Langues: | Anglais |
| Catégories : |
[Eurovoc] ÉCONOMIE > analyse économique > analyse économique > économétrie [Eurovoc] FINANCES > assurance > assurance > contrat d'assurance > risque couvert |
| Tags : | political economy ; mathematical models ; economic models ; risk theory |
| Résumé : | Note de l'éditeur : "Studying this work in real time taught me a lot, but seeing it laid out in conceptual, rather than chronological, order provides even clearer insights into the evolution of this provocative line of research. Hansen and Sargent are two of the best economists of our time, they are also among the most dedicated teachers in our profession. They have once again moved the research frontier, and with this book provide a roadmap for the rest of us to follow. This is a must-have for anyone interested in modeling uncertainty, ambiguity and robustness. Stanley E Zin William R Berkley Professor of Economics and Business Leonard N Stern School of Business New York University This book will be useful for those who deal with econometrics, macroeconomics, and economic models and study uncertainty. Zentralblatt Math 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." |
| Note de contenu : |
Introduction --
Discounted linear exponential quadratic Gaussian control -- Robust permanent income and pricing -- A quartet of semigroups for model specification, robustness, prices of risk, and model detection -- Robust control and model uncertainty -- Robust control and model misspecification -- Doubts or variability? -- Robust estimation and control without commitment -- Fragile belifs and the price of uncertainty -- Beliefs, doubts and learning: valuing macroeconomic risk -- Three types of ambiguity. |
Exemplaires (1)
| Code-barres | Cote | Support | Localisation | Section | Disponibilité |
|---|---|---|---|---|---|
| 000179 | X 926 | Livre | Centre de documentation du CERDI / Ecole d'Economie | Salle de lecture | Disponible |
