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Perturbation Methods for Risk-Sensitive Economies

Evan Anderson and Lars Hansen

Computing in Economics and Finance 1996 from Society for Computational Economics

Abstract: Risk-sensitive control problems are designed to exacerbate the response of decision rules to amount of uncertainty confronting the controllers. Alternatively, they can be thought of as providing an element of robustness to the decision rules. In economies populated by risk-sensitive agents, risk sensitivity is also reflected in the equilibrium security market prices. Our paper explores alternative algorithms for computing equilibrium quantities and prices for risk sensitive economies.

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More papers in Computing in Economics and Finance 1996 from Society for Computational Economics Department of Econometrics, University of Geneva, 102 Bd Carl-Vogt, 1211 Geneva 4, Switzerland. Contact information at EDIRC.
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