Ambiguity aversion and model misspecification: an economic perspective

DOI10.1214/16-STS570zbMath1442.62018MaRDI QIDQ1790363

Massimo Marinacci, Lars Peter Hansen

Publication date: 2 October 2018

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ss/1484816578

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric robustness (62G35) Foundations and philosophical topics in statistics (62A01) General considerations in statistical decision theory (62C05)

Related Items (11)

A framework for the analysis of self-confirming policies ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Minimizing sensitivity to model misspecification ⋮ Risk analysis and decision theory: a bridge ⋮ Scenario-based risk evaluation ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Robustly optimal monetary policy in a New Keynesian model with housing ⋮ Structured ambiguity and model misspecification ⋮ Generalized entropy and model uncertainty ⋮ A note on rational inattention and rate distortion theory

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