A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

Lars Hansen and Thomas Sargent

Chapter 4 in Uncertainty within Economic Models, 2014, pp 83-143 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionOverviewMathematical PreliminariesA Tour of Four SemigroupsModel Misspecification and Robust ControlPortfolio AllocationPricing Risky ClaimsStatistical DiscriminationEntropy and the Market Price of UncertaintyConcluding RemarksAppendix 4.A Proof of Theorem 4.5.1

Keywords: Uncertainty; Economic Models; Econometrics; Dynamic Programming; Macroeconomics; Robustness; Robust Control Theory; Agents; Market Prices; Model Misspecification (search for similar items in EconPapers)
Date: 2014
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Journal Article: A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)
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