Perturbation Methods for Risk-Sensitive Economies

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Perturbation Methods for Risk-Sensitive Economies

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Evan W. Anderson () (University of Chicago)
Lars Peter Hansen (University of Chicago and NBER)

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Lars Peter Hansen

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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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1996 with number _062.

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Handle: RePEc:sce:scecf6:_062

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July. [Downloadable!] (restricted)
Weil, Philippe, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 29-42, February. [Downloadable!] (restricted)
Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December. [Downloadable!] (restricted)
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- Judd, K.L., 1992. "Projection Methods for Saving Aggregate Growth Models," Papers e-92-7, Stanford - Hoover Institution.
Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March. [Downloadable!]
Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier. [Downloadable!] (restricted)

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