Fragile beliefs and the price of uncertainty

DOI10.3982/QE9zbMATH Open1207.91037OpenAlexW1574274413MaRDI QIDQ3062237FDOQ3062237

Authors: Lars Peter Hansen, Thomas J. Sargent 

Publication date: 3 January 2011

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe9

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zbMATH Keywords

learningrobustnesspessimismrisk sensitivityBayes' lawprices of risk

Mathematics Subject Classification ID

Decision theory (91B06) Empirical decision procedures; empirical Bayes procedures (62C12) Consumer behavior, demand theory (91B42) Rationality and learning in game theory (91A26)

Cited In (24)

• Doubts or variability?
• Macroeconomic uncertainty prices when beliefs are tenuous
• Twisted probabilities, uncertainty, and prices
• Recursive robust estimation and control without commitment
• Second-order ambiguous beliefs
• Existence and uniqueness of recursive utilities without boundedness
• Robustness of stable volatility strategies
• Ordering ambiguous acts
• Is the market price of risk infinite?
• Robust hidden Markov LQG problems
• A statistical procedure for testing financial contagion
• On the computation of detection error probabilities under normality assumptions
• Estimating robustness
• Examining macroeconomic models through the lens of asset pricing
• Directed attention and nonparametric learning
• Robustness and ambiguity in continuous time
• Out-of-equilibrium dynamics with heterogeneous capital goods
• Robust consumption and portfolio policies when asset prices can jump
• Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test
• TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
• Structured ambiguity and model misspecification
• Doubts about the model and optimal policy
• Doubts and variability: a robust perspective on exotic consumption series
• Weighing asset pricing factors: a least squares model averaging approach

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