Robustness / / Thomas J. Sargent, Lars Peter Hansen.
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do...
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| Superior document: | Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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| VerfasserIn: | |
| Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2011] ©2007 |
| Year of Publication: | 2011 |
| Edition: | Course Book |
| Language: | English |
| Online Access: | |
| Physical Description: | 1 online resource (464 p.) |
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Table of Contents:
- Frontmatter
- Contents
- Preface
- Acknowledgments
- Part I: Motivation and main ideas
- 1. Introduction
- 2. Basic ideas and methods
- 3. A stochastic formulation
- Part II: Standard control and filtering
- 4. Linear control theory
- 5. The Kalman filter
- Part III: Robust control
- 6. Static multiplier and constraint games
- 7. Time domain games for attaining robustness
- 8. Frequency domain games and criteria for robustness
- 9. Calibrating misspecification fears with detection error probabilities
- 10. A permanent income model
- Part IV: Multi-agent problems
- 11. Competitive equilibria without robustness
- 12. Competitive equilibria with robustness
- 13. Asset pricing
- 14. Risk sensitivity, model uncertainty, and asset pricing
- 15. Markov perfect equilibria with robustness
- 16. Robustness in forward-looking models
- Part V: Robust estimation and filtering
- 17. Robust filtering with commitment
- 18. Robust filtering without commitment
- Part VI: Extensions
- 19. Alternative approaches
- References
- Index