Robustness and ambiguity in continuous time
DOI10.1016/J.JET.2011.01.004zbMATH Open1247.91043OpenAlexW1964929922MaRDI QIDQ548261FDOQ548261
Lars Peter Hansen, Thomas J. Sargent
Publication date: 28 June 2011
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2011.01.004
Recommendations
entropyhidden Markov modelrobustnessambiguitylikelihood functionsmooth ambiguitystatistical detection error
Decision theory (91B06) Statistical methods; economic indices and measures (91B82) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Maxmin expected utility with non-unique prior
- Stochastic Differential Utility
- Title not available (Why is that?)
- A Smooth Model of Decision Making under Ambiguity
- Ambiguity, Risk, and Asset Returns in Continuous Time
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Recursive smooth ambiguity preferences
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Uncertainty averse preferences
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- Robust estimation and control under commitment
- Ambiguity, learning, and asset returns
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robustness
- On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
- Recursive robust estimation and control without commitment
- Long-Term Risk: An Operator Approach
- Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
- Robust control and model misspecification
- Doubts or variability?
- Fragile beliefs and the price of uncertainty
- Chernoff bounds for discriminating between two markov processes
- Ambiguity and the historical equity premium
- Intertemporal substitution and recursive smooth ambiguity preferences
Cited In (16)
- Adaptive Robust Control in Continuous Time
- On aperiodicity robustness
- Introduction to incompleteness and uncertainty in economics
- Generalized light robustness and the trade-off between robustness and nominal quality
- Uncertain dynamics, correlation effects, and robust investment decisions
- Algorithmic Trading with Model Uncertainty
- On continuity/discontinuity in robustness indicators
- Asset pricing under smooth ambiguity in continuous time
- Robust experimentation in the continuous time bandit problem
- Robust utility maximization under model uncertainty via a penalization approach
- A numerical method for hedging Bermudan options under model uncertainty
- The Myopic Property in Decision Models
- Robust consumption and portfolio policies when asset prices can jump
- Robust control in green production management
- Ambiguity, information processing, and financial intermediation
- Introduction to the special issue in honor of Larry Epstein
This page was built for publication: Robustness and ambiguity in continuous time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q548261)
