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Robust Permanent Income and Pricing

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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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  • Lars Hansen & Thomas Sargent & Thomas Tallarini, "undated". "Robust Permanent Income and Pricing," GSIA Working Papers 1997-51, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:63
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