Uncertainty Within Economic Models
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Author | : Lars Peter Hansen |
Publisher | : World Scientific |
Total Pages | : 483 |
Release | : 2014-09-09 |
Genre | : Business & Economics |
ISBN | : 9814578134 |
Download Uncertainty Within Economic Models Book in PDF, Epub and Kindle
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.
Author | : Lars Peter Hansen |
Publisher | : World Scientific Publishing Company Incorporated |
Total Pages | : 454 |
Release | : 2014 |
Genre | : Business & Economics |
ISBN | : 9789814578110 |
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"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 ZinWilliam R Berkley Professor of Economics and BusinessLeonard N Stern School of BusinessNew York UniversityWritten 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.
Author | : Donald W. Katzner |
Publisher | : University of Michigan Press |
Total Pages | : 502 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 0472109383 |
Download Time, Ignorance, and Uncertainty in Economic Models Book in PDF, Epub and Kindle
Formal economic analysis using Shackle's ideas of historical time and nonprobabilistic uncertainty
Author | : Kiyohiko G. Nishimura |
Publisher | : Springer |
Total Pages | : 341 |
Release | : 2017-11-13 |
Genre | : Business & Economics |
ISBN | : 4431559035 |
Download Economics of Pessimism and Optimism Book in PDF, Epub and Kindle
This is the first book to investigate individual’s pessimistic and optimistic prospects for the future and their economic consequences based on sound mathematical foundations. The book focuses on fundamental uncertainty called Knightian uncertainty, where the probability distribution governing uncertainty is unknown, and it provides the reader with methods to formulate how pessimism and optimism act in an economy in a strict and unified way. After presenting decision-theoretic foundations for prudent behaviors under Knightian uncertainty, the book applies these ideas to economic models that include portfolio inertia, indeterminacy of equilibria in the Arrow-Debreu economy and in a stochastic overlapping-generations economy, learning, dynamic asset-pricing models, search, real options, and liquidity preferences. The book then proceeds to characterizations of pessimistic (ε-contaminated) and optimistic (ε-exuberant) behaviors under Knightian uncertainty and people’s inherent pessimism (surprise aversion) and optimism (surprise loving). Those characterizations are shown to be useful in understanding several observed behaviors in the global financial crisis and in its aftermath. The book is highly recommended not only to researchers who wish to understand the mechanism of how pessimism and optimism affect economic phenomena, but also to policy makers contemplating effective economic policies whose success delicately hinges upon people’s mindsets in the market. Kiyohiko Nishimura is Professor at the National Graduate Institute for Policy Studies (GRIPS) and Professor Emeritus and Distinguished Project Research Fellow of the Center for Advanced Research in Finance at The University of Tokyo. Hiroyuki Ozaki is Professor of Economics at Keio University.
Author | : Robert Nau |
Publisher | : Springer Science & Business Media |
Total Pages | : 290 |
Release | : 1997-05-31 |
Genre | : Business & Economics |
ISBN | : 9780792345565 |
Download Economic and Environmental Risk and Uncertainty Book in PDF, Epub and Kindle
The 1980s and 1990s have been a period of exciting new developments in the modelling of decision-making under risk and uncertainty. Extensions of the theory of expected utility and alternative theories of `non-expected utility' have been devised to explain many puzzles and paradoxes of individual and collective choice behaviour. This volume presents some of the best recent work on the modelling of risk and uncertainty, with applications to problems in environmental policy, public health, economics and finance. Eighteen papers by distinguished economists, management scientists, and statisticians shed new light on phenomena such as the Allais and St. Petersburg paradoxes, the equity premium puzzle, the demand for insurance, the valuation of public health and safety, and environmental goods. Audience: This work will be of interest to economists, management scientists, risk and policy analysts, and others who study risky decision-making in economic and environmental contexts.
Author | : Peter A. Diamond |
Publisher | : |
Total Pages | : 584 |
Release | : 1978 |
Genre | : Business & Economics |
ISBN | : |
Download Uncertainty in Economics Book in PDF, Epub and Kindle
The First Edition, published in 1978, brought together classic and modern thinking in the economics of uncertainty and provided the first text in the area. This Second Edition includes three new articles, added material on search theory, an additional preface, and updated references. Articles, introduced with brief commentaries, are divided into three broad sections: theory of choice under uncertainty, general equilibrium models of financial institutions, and models of the effects of uncertainty on market institutions.
Author | : Robert G. Crawford |
Publisher | : |
Total Pages | : 28 |
Release | : 1974 |
Genre | : Decision making |
ISBN | : |
Download Implications of Learning for Economic Models of Uncertainty Book in PDF, Epub and Kindle
Author | : Svetlana Boyarchenko |
Publisher | : Springer Science & Business Media |
Total Pages | : 292 |
Release | : 2007-08-26 |
Genre | : Business & Economics |
ISBN | : 3540737464 |
Download Irreversible Decisions under Uncertainty Book in PDF, Epub and Kindle
Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.
Author | : Jati Sengupta |
Publisher | : Springer Science & Business Media |
Total Pages | : 381 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 9401730857 |
Download Stochastic Optimization and Economic Models Book in PDF, Epub and Kindle
This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.
Author | : Christian Schmidt |
Publisher | : Edward Elgar Publishing |
Total Pages | : 262 |
Release | : 1996 |
Genre | : Business & Economics |
ISBN | : |
Download Uncertainty in Economic Thought Book in PDF, Epub and Kindle
Brings together an international group of scholars to explore the treatment of uncertainty in various schools of economic thought. It demonstrates that new insights can be found by focusing on the work of past economists on the decision-making process and the system dynamics.