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Robust Permanent Income and Pricing

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  • Lars Peter Hansen
  • Thomas J. Sargent
  • Thomas D. Tallarini Jr.

Abstract

The following sections are included:IntroductionRecursive Risk Sensitive ControlRobust Permanent Income TheoryEstimationAsset PricingQuantifying Robustness from the Market Price of RiskIntertemporal Mean-risk Trade-offsConclusionsAppendix 3.A Subgradient InequalityAppendix 3.B Computing Prices for State-contingent UtilityAppendix 3.C Computing the Conditional Variance of the Stochastic Discount Factor
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Suggested Citation

  • 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.
  • Handle: RePEc:cla:levarc:596
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