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.
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