Introduction to model uncertainty and robustness

DOI10.1016/J.JET.2006.03.009zbMath1151.91311OpenAlexW2058186710MaRDI QIDQ2496225

Lars Peter Hansen, Aldo Rustichini, Pascal Maenhout, Thomas J. Sargent, Marciano Siniscalchi

Publication date: 12 July 2006

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

Full work available at URL: https://doi.org/10.1016/j.jet.2006.03.009

zbMATH Keywords

robustnessambiguitymodel uncertaintyrobust control preferencestime consistent preferences

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Mathematical economics (91Bxx)

Related Items (1)

Out-of-Equilibrium Dynamics with Heterogeneous Capital Goods

Cites Work

• Maxmin expected utility with non-unique prior
• Dynamic variational preferences
• Robust control and model misspecification
• A behavioral characterization of plausible priors
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

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