Robust Permanent Income and Pricing

Lars Hansen and Thomas Sargent

Chapter 3 in Uncertainty within Economic Models, 2014, pp 33-81 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionRecursive Risk Sensitive ControlRobust Permanent Income TheoryEstimationAsset PricingQuantifying Robustness from the Market Price of RiskIntertemporal Mean-risk Trade-offsConclusionsAppendix 3.A Subgradient InequalityAppendix 3.B Computing Prices for State-contingent UtilityAppendix 3.C Computing the Conditional Variance of the Stochastic Discount Factor

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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Related works:
Journal Article: Robust Permanent Income and Pricing (1999)
Working Paper: Robust Permanent Income and Pricing (1997)
Working Paper: Robust Permanent Income and Pricing
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