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Citations for "Robust Control and Model Uncertainty"

by Thomas J. Sargent & LarsPeter Hansen

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  1. Nicoletta Batini & Alejandro Justiniano & Paul Levine & Joseph Pearlman, 2004. "Robust Inflation-Forecast-Based Rules to Shield against Indeterminacy," School of Economics Discussion Papers 0804, School of Economics, University of Surrey.
  2. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
  3. Hennlock, Magnus, 2009. "Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment," Discussion Papers dp-09-19, Resources For the Future.
  4. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics.
  5. Bade, Sophie, 2011. "Ambiguous act equilibria," Games and Economic Behavior, Elsevier, vol. 71(2), pages 246-260, March.
  6. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
  7. Araujo, Aloisio & Novinski, Rodrigo & Páscoa, Mário R., 2011. "General equilibrium, wariness and efficient bubbles," Journal of Economic Theory, Elsevier, vol. 146(3), pages 785-811, May.
  8. Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  9. Klibanoff, Peter & Marinacci, Massimo & Mukerji, Sujoy, 2009. "Recursive smooth ambiguity preferences," Journal of Economic Theory, Elsevier, vol. 144(3), pages 930-976, May.
  10. Alexei Onatski & Noah Williams, 2002. "Modeling model uncertainty," Working Paper Series 169, European Central Bank.
  11. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  12. Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2006. "Methods for Robust Control," CEPR Discussion Papers 5638, C.E.P.R. Discussion Papers.
  13. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004. "Portfolio Selection with Monotone Mean-Variance Preferences," ICER Working Papers - Applied Mathematics Series 27-2004, ICER - International Centre for Economic Research, revised Dec 2004.
  14. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M. & Montrucchio, L., 2011. "Uncertainty averse preferences," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1275-1330, July.
  15. Wieland, Volker, 2003. "Monetary Policy and Uncertainty about the Natural Unemployment Rate," CEPR Discussion Papers 3811, C.E.P.R. Discussion Papers.
  16. Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
  17. Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2186-2202, November.
  18. Küster, Keith & Wieland, Volker, 2005. "Insurance Policies for Monetary Policy in the Euro Area," CEPR Discussion Papers 4956, C.E.P.R. Discussion Papers.
  19. Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Information Immobility and the Home Bias Puzzle," Journal of Finance, American Finance Association, vol. 64(3), pages 1187-1215, 06.
  20. Karantounias, Anastasios G., 2013. "Managing pessimistic expectations and fiscal policy," Theoretical Economics, Econometric Society, vol. 8(1), January.
  21. Daniel Hernandez–Hernandez & Alexander Schied, 2006. "A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties," SFB 649 Discussion Papers SFB649DP2006-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  22. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
  23. Hill, Brian, 2009. "Confidence and ambiguity," Les Cahiers de Recherche 914, HEC Paris.
  24. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Dynamic Variational Preferences," Carlo Alberto Notebooks 1, Collegio Carlo Alberto.
  25. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  26. Deborah Lucas, 2003. "Modeling the Macro-Effects of Sustained Fiscal Policy Imbalances: How Much Does Rationality Matter?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 789-805, October.
  27. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  28. Ellison, Martin & Sargent, Thomas J., 2012. "Welfare cost of business cycles in economies with individual consumption risk," Research Discussion Papers 25/2012, Bank of Finland.
  29. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
  30. Itzhak Gilboa & Andrew Postlewaite & Larry Samuelson & David Schmeidler, 2012. "Economic Models as Analogies, Third Version," PIER Working Paper Archive 13-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 27 Jan 2013.
  31. William Brock & Steven Durlauf & Kenneth West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
  32. Anastasios Xepapadeas & Catarina Roseta-Palma, 2003. "Instabilities and Robust Control in Fisheries," Working Papers 2003.110, Fondazione Eni Enrico Mattei.
  33. Esteban Bravo, Mercedes & Vidal-Sanz, Jose M., 2007. "Worst-case estimation for econometric models with unobservable components," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/7342, Universidad Carlos III de Madrid.
  34. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis.
  35. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
  36. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
  37. Athanasios Orphanides & John C. Williams, 2002. "Robust Monetary Policy Rules with Unknown Natural Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 63-146.
  38. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Carlo Alberto Notebooks 12, Collegio Carlo Alberto, revised 2006.
  39. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  40. repec:hal:journl:halshs-00470670 is not listed on IDEAS
  41. Simone Cerreia-Vioglio, 2011. "Objective Rationality and Uncertainty Averse Preferences," Working Papers 413, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  42. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty. Evidence from the US and the Euro Area," CSEF Working Papers 231, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  43. Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised May 2012.
  44. Jayant Ganguli & Scott Condie & Philipp Karl Illeditsch, 2012. "Information Inertia," Economics Discussion Papers 719, University of Essex, Department of Economics.
  45. Hansen, Lars Peter & Mayer, Ricardo & Sargent, Thomas, 2010. "Robust hidden Markov LQG problems," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1951-1966, October.
  46. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
  47. Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  48. Marciano Siniscalchi, 2007. "Vector Expected Utility and Attitudes toward Variation," Discussion Papers 1455, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  49. Robert J. Tetlow & Peter von zur Muehlen, 2002. "Avoiding Nash inflation: Bayesian and robust responses to model uncertainty," Finance and Economics Discussion Series 2002-9, Board of Governors of the Federal Reserve System (U.S.).
  50. Chateauneuf, Alain & Faro, José Heleno, 2009. "Ambiguity through confidence functions," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 535-558, September.
  51. Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
  52. Kilponen, Juha, 2004. "Robust expectations and uncertain models – A robust control approach with application to the New Keynesian economy," Research Discussion Papers 5/2004, Bank of Finland.
  53. Konstantinos Angelopoulos & James Malley, 2010. "Fear of model misspecification and the robustness premium," Working Papers 2010_24, Business School - Economics, University of Glasgow.
  54. Oreste Tristani, 2007. "Model misspecification, the equilibrium natural interest rate and the equity premium," Working Paper Series 808, European Central Bank.
  55. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
  56. Itzhak Gilboa & Andrew Postlewaite & Larry Samuelson & David Schmeidler, 2011. "Economic Models as Analogies, Second Version," PIER Working Paper Archive 12-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Jul 2012.
  57. Fabrizio Zampolli, 2004. "Optimal monetary policy in a regime-switching economy," Computing in Economics and Finance 2004 166, Society for Computational Economics.
  58. Charles Bean & Jens D.J. Larsen & Kalin Nikolov, 2002. "Financial frictions and the monetary transmission mechanism: theory; evidence and policy implications," Working Paper Series 113, European Central Bank.
  59. repec:hal:journl:halshs-00281582 is not listed on IDEAS
  60. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Variational representation of preferences under ambiguity," ICER Working Papers - Applied Mathematics Series 05-2004, ICER - International Centre for Economic Research.
  61. William A. Brock & Anastasios Xepapadeas & Athanasios. N. Yannacopoulos, 2013. "Robust Control of a Spatially Distributed Commercial Fishery," Working Papers 2013.11, Fondazione Eni Enrico Mattei.
  62. Adam – Nelu ALTĂR – SAMUEL, 2008. "Robust Monetary Policy," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(2), pages 475-486, November.
  63. Rinaldi, Francesca, 2009. "Endogenous incompleteness of financial markets: The role of ambiguity and ambiguity aversion," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 880-901, December.
  64. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
  65. Zhu, Wenge, 2011. "Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 38-46, July.
  66. Lars Peter Hansen, 2012. "Challenges in Identifying and Measuring Systemic Risk," NBER Working Papers 18505, National Bureau of Economic Research, Inc.
  67. Giannis Vardas & Anastasios Xepapadeas, 2010. "Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 45(3), pages 379-404, March.
  68. Lars E.O. Svensson, 2005. "Targeting versus instrument rules for monetary policy: what is wrong with McCallum and Nelson?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 613-626.
  69. Justin Svec, 2011. "Optimal Capital Taxation and Consumer Uncertainty," Working Papers 1108, College of the Holy Cross, Department of Economics.
  70. Gino Cateau, 2005. "Monetary Policy under Model and Data-Parameter Uncertainty," Working Papers 05-6, Bank of Canada.
  71. Ortoleva, Pietro, 2010. "Status quo bias, multiple priors and uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 69(2), pages 411-424, July.
  72. Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
  73. Gino Cateau, 2006. "Guarding Against Large Policy Errors under Model Uncertainty," Working Papers 06-13, Bank of Canada.
  74. Blake, Andrew P. & Zampolli, Fabrizio, 2011. "Optimal policy in Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1626-1651, October.
  75. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
  76. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  77. Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers 1301.4832, arXiv.org.
  78. Ehud Kalai, 2005. "Partially-Specified Large Games," Discussion Papers 1403, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  79. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
  80. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
  81. Susan Stratton Sayre & Rachel Goodhue & Leo Simon, . "Probabilistic Political Viability: A Methodology for Predictive Political Economy," Working Papers 2012-01, Smith College, Department of Economics.
  82. Itzhak Gilboa & Andrew Postlewaite & Larry Samuelson & David Schmeidler, 2011. "Economic Models as Analogies," PIER Working Paper Archive 12-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  83. Menachem Brenner & Yehuda Izhakian, 2011. "Asset Priving and Ambiguity: Empirical Evidence," Working Papers 11-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  84. Alexander Schied, 2005. "Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach," SFB 649 Discussion Papers SFB649DP2005-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  85. Oliver Walker & Simon Dietz, 2012. "Ambiguity and insurance: robust capital requirements and premiums," Grantham Research Institute on Climate Change and the Environment Working Papers 97, Grantham Research Institute on Climate Change and the Environment.
  86. Tomasz, Strzalecki, 2011. "Probabilistic sophistication and variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2117-2125, September.
  87. Nicholas Trachter & Ali Ozdagli, 2008. "College Enrollment, Dropouts and Option Value of Education," 2008 Meeting Papers 765, Society for Economic Dynamics.
  88. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
  89. Richard Dennis, 2005. "Robust control with commitment: a modification to Hansen-Sargent," Working Papers in Applied Economic Theory 2005-20, Federal Reserve Bank of San Francisco.
  90. Wiebke Wittmüß, 2006. "Robust Optimization of Consumption with Random Endowment," SFB 649 Discussion Papers SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  91. Stadje, M.A. & Pelsser, A., 2012. "Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)," Discussion Paper 2012-086, Tilburg University, Center for Economic Research.
  92. Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Timing of Model Uncertainty," Computing in Economics and Finance 2004 147, Society for Computational Economics.