Robustness and Information Processing
This paper attempts to relate two apparently distinct literatures. One is the so-called `robust control' literature. Robust control methods were developed by engineers during the 1980s, and are designed to make traditional Linear-Quadratic control more robust to model misspecification. Rather than specify an explicit distribution for a model's disturbances, robust control methods are based on a worst-case analysis of the disturbances, and can be implemented by solving dynamic zero-sum games. Hansen and Sargent (2004) have pioneered the application of these methods in economics. Economists are attracted by robust control because it apparently provides a workable formalization of Knightian Uncertainty. (Copyright: Elsevier)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 9 (2006)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: |
Web page: http://www.EconomicDynamics.org/review.htm
More information through EDIRC
|Order Information:|| Web: http://www.EconomicDynamics.org/RED17.htm Email: |
References listed on IDEAS
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. & Schneider, Martin, 2003.
Journal of Economic Theory,
Elsevier, vol. 113(1), pages 1-31, November.
- Pascal J. Maenhout, 2004. "Robust Portfolio Rules and Asset Pricing," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 951-983.
- repec:cup:macdyn:v:6:y:2002:i:1:p:40-84 is not listed on IDEAS
- Grether, David M., .
"Bayes Rule as a Descriptive Model: The Representativeness Heuristic,"
245, California Institute of Technology, Division of the Humanities and Social Sciences.
- Grether, David M, 1980. "Bayes Rule as a Descriptive Model: The Representativeness Heuristic," The Quarterly Journal of Economics, MIT Press, vol. 95(3), pages 537-57, November.
- Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 40-84, February.
- Ravi Bansal & Amir Yaron, 2004.
"Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,"
Journal of Finance,
American Finance Association, vol. 59(4), pages 1481-1509, 08.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
- Sendhil Mullainathan, 2002. "A Memory-Based Model Of Bounded Rationality," The Quarterly Journal of Economics, MIT Press, vol. 117(3), pages 735-774, August.
- Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, vol. 1(1), pages 68-123, 03.
- Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997.
"Robust Permanent Income and Pricing,"
Levine's Working Paper Archive
596, David K. Levine.
- Detemple, Jerome B, 1986. " Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-91, June.
- Christopher A. Sims, 2001. "Pitfalls of a Minimax Approach to Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 51-54, May.
- Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, vol. 128(1), pages 45-90, May.
When requesting a correction, please mention this item's handle: RePEc:red:issued:v:9:y:2006:i:1:p:1-33. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.