Ambiguity aversion and model misspecification: an economic perspective

DOI10.1214/16-STS570zbMath1442.62018MaRDI QIDQ1790363

Massimo Marinacci, Lars Peter Hansen

Publication date: 2 October 2018

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ss/1484816578

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric robustness (62G35) Foundations and philosophical topics in statistics (62A01) General considerations in statistical decision theory (62C05)

Related Items

A framework for the analysis of self-confirming policies, Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Minimizing sensitivity to model misspecification, Risk analysis and decision theory: a bridge, Scenario-based risk evaluation, Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Time-consistency of optimal investment under smooth ambiguity, Robustly optimal monetary policy in a New Keynesian model with housing, Structured ambiguity and model misspecification, Generalized entropy and model uncertainty, A note on rational inattention and rate distortion theory

Cites Work

• Recursive smooth ambiguity preferences
• Maxmin expected utility with non-unique prior
• Recursive multiple-priors.
• Econometrics and decision theory
• Approximate models and robust decisions
• Recursive robust estimation and control without commitment
• Dynamic variational preferences
• Robust control and model misspecification
• Risk, Ambiguity, and the Savage Axioms
• Ambiguity and the Bayesian Paradigm
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• A Smooth Model of Decision Making under Ambiguity
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Stationary Ordinal Utility and Impatience
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item