DOI10.1515/9781400829385zbMath1134.93001OpenAlexW4253542043MaRDI QIDQ5431445
Thomas J. Sargent, Lars Peter Hansen
Publication date: 10 December 2007
Full work available at URL: https://doi.org/10.1515/9781400829385
Doubts about the model and optimal policy ⋮
An approximation approach to dynamic programming with unbounded returns ⋮
Robust distributed Kalman filtering with event-triggered communication ⋮
Optimal Dividends Under Model Uncertainty ⋮
Beyond uncertainty aversion ⋮
An information-theoretic approach to partially identified auction models ⋮
Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model ⋮
Robust utility maximization under model uncertainty via a penalization approach ⋮
Asset-liability management for long-term insurance business ⋮
Ambiguous partially observable Markov decision processes: structural results and applications ⋮
A case for incomplete markets ⋮
Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations ⋮
Uncertain dynamics, correlation effects, and robust investment decisions ⋮
Climate engineering under deep uncertainty ⋮
Financial stability under model uncertainty ⋮
Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case ⋮
Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮
Reference points and learning ⋮
Unbounded dynamic programming via the Q-transform ⋮
Model Uncertainty and Correctability for Directed Graphical Models ⋮
Dynamic conic hedging for competitiveness ⋮
A numerical method for hedging Bermudan options under model uncertainty ⋮
Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy ⋮
Optimal Ergodic Harvesting under Ambiguity ⋮
Three types of robust Ramsey problems in a linear-quadratic framework ⋮
The Asian financial crisis and international reserve accumulation: a robust control approach ⋮
Robustness of stable volatility strategies ⋮
Convex risk measures for the aggregation of multiple information sources and applications in insurance ⋮
Doubts or variability? ⋮
A simple robust asset pricing model under statistical ambiguity ⋮
Generalized aggregation of misspecified models: with an application to asset pricing ⋮
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility ⋮
Robust hidden Markov LQG problems ⋮
Preferences with changing ambiguity aversion ⋮
Dynamic consistency and ambiguity: a reappraisal ⋮
On the robustness of the Bayes and Wiener estimators under model uncertainty ⋮
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮
Optimal conservatism and collective monetary policymaking under uncertainty ⋮
On endogenous formation of price expectations ⋮
Aggregation-robustness and model uncertainty of regulatory risk measures ⋮
Nonparametric Adaptive Robust Control under Model Uncertainty ⋮
Influential news and policy-making ⋮
Valuation risk revalued ⋮
Minimizing sensitivity to model misspecification ⋮
Distortion risk measures, ROC curves, and distortion divergence ⋮
Robust stimulus of private investment: Tax rate cut or investment subsidy? ⋮
Which misspecifications persist? ⋮
On a constrained infinite-time horizon linear quadratic game ⋮
Robust fixed-lag smoothing under model perturbations ⋮
TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES ⋮
Time-consistent lifetime portfolio selection under smooth ambiguity ⋮
Cautious stochastic choice, optimal stopping and deliberate randomization ⋮
Global robust Bayesian analysis in large models ⋮
Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty ⋮
The role of model uncertainty and learning in the US postwar policy response to oil prices ⋮
Ambiguity and the Bayesian Paradigm ⋮
Convergence Analysis of a Family of Robust Kalman Filters Based on the Contraction Principle ⋮
The monetary policy response to uncertain inflation persistence ⋮
Probabilistic sophistication, second order stochastic dominance and uncertainty aversion ⋮
Robust control of uncertain systems: classical results and recent developments ⋮
Robust monetary policy, optimal delegation and misspecified potential output ⋮
Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics ⋮
Robust control and hot spots in spatiotemporal economic systems ⋮
Optimal risk exposure and dividend payout policies under model uncertainty ⋮
Incomplete markets, Knightian uncertainty and high-water marks ⋮
Hedging with small uncertainty aversion ⋮
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮
Optimal interest-rate rules and inflation stabilization versus price-level stabilization ⋮
An escape time interpretation of robust control ⋮
Imperfect credibility and robust monetary policy ⋮
Doubts and variability: a robust perspective on exotic consumption series ⋮
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations ⋮
Robust consumption and portfolio policies when asset prices can jump ⋮
Introduction to incompleteness and uncertainty in economics ⋮
General equilibrium, wariness and efficient bubbles ⋮
Robustness and ambiguity in continuous time ⋮
Robust Actuarial Risk Analysis ⋮
ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS ⋮
Robust monetary rules under unstructured model uncertainty ⋮
Methods for robust control ⋮
Robustifying learnability ⋮
Macroeconomic uncertainty prices when beliefs are tenuous ⋮
Time-consistency of optimal investment under smooth ambiguity ⋮
On the computation of detection error probabilities under normality assumptions ⋮
Approximate models and robust decisions ⋮
Rejoinder: Approximate models and robust decisions ⋮
Pricing and hedging in incomplete markets with model uncertainty ⋮
Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework ⋮
Robust state-dependent mean-variance portfolio selection: a closed-loop approach ⋮
A Contraction Analysis of the Convergence of Risk-Sensitive Filters ⋮
Twisted probabilities, uncertainty, and prices ⋮
Inference for the degree distributions of preferential attachment networks with zero-degree nodes ⋮
Robustly optimal monetary policy in a New Keynesian model with housing ⋮
Robust pricing under strategic trading ⋮
Foundations of ambiguity models under symmetry: \(\alpha\)-MEU and smooth ambiguity ⋮
Estimating robustness ⋮
Numerical fiscal rules for economic unions: the role of sovereign spreads ⋮
Robust designs through risk sensitivity: an overview ⋮
TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION ⋮
Bipolar behavior of submodular, law-invariant capacities
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