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Uncertainty within Economic Models. L.P.ハンセン、T.J.サージェント著 経済モデル内の不確実性
・ISBN 978-981-4578-11-0 2015 hard US$ 174.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-981-4578-12-7
| 著者・編者 | Hansen, Lars Peter / Sargent, T. J., |
|---|---|
| シリーズ | World Scientific Series in Economic Theory |
| 出版社 | (World Scientific, SI) |
| ページ数 | 454 pp. |
| 言語 | ENG |
| ニュース番号 | ＜1 616-261＞ |
解説
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.