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A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Author

Listed:
  • Lars Peter Hansen
  • Thomas J Sargent

Abstract

The following sections are included:IntroductionOverviewMathematical PreliminariesA Tour of Four SemigroupsModel Misspecification and Robust ControlPortfolio AllocationPricing Risky ClaimsStatistical DiscriminationEntropy and the Market Price of UncertaintyConcluding RemarksAppendix 4.A Proof of Theorem 4.5.1

Suggested Citation

  • Lars Peter Hansen & Thomas J Sargent, 2014. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 4, pages 83-143, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814578127_0004
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    Keywords

    Uncertainty; Economic Models; Econometrics; Dynamic Programming; Macroeconomics; Robustness; Robust Control Theory; Agents; Market Prices; Model Misspecification;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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