Structured ambiguity and model misspecification

DOI10.1016/J.JET.2020.105165MaRDI QIDQ2067388zbMATH OpenOpenAlexFDO

Authors Lars Peter Hansen, Thomas J. Sargent

Publication date 18 January 2022

Published in Journal of Economic Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jet.2020.105165

zbMATH Keywords

misspecificationrobustnessambiguityrelative entropyvariational preferencesstructured and unstructured models

Mathematics Subject Classification ID

Decision theory (91B06)

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Cited in

(11)

• Twisted probabilities, uncertainty, and prices
• Aversion to ambiguity and model misspecification in dynamic stochastic environments
• Market selection and learning under model misspecification
• Estimating robustness
• Nested Models and Model Uncertainty
• Aggregation of misspecified experts
• Doubts about the model and optimal policy
• scientific article; zbMATH DE number 6512131 (Why is no real title available?)
• Ambiguity aversion and model misspecification: an economic perspective
• Smooth ambiguity preferences and asset prices with a jump-diffusion process
• Forward robust portfolio selection: the binomial case

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