IDEAS home Printed from
   My bibliography  Save this paper

Robust control, Regime Switching Risk and Asset Prices


  • Turalay Kenc


It has been recognized that (i) decision makers' concerns about robustness affect prices and quantities; and (ii) uncertainty are generated by infrequent large shocks as well as continuous small shocks. An investor observes movements in variable levels but cannot perfectly distinguish their sources. Instead, the investor solves a signal extraction problem. We depart from most of the macroeconomics and finance literature by presuming that the investor treats the infrequent risk as non-diversifiable and hence the risk has to be priced. We study how a concern about robustness alters asset prices. We analyze the dynamic evolution of the risk-return tradeoff and the evolution of the dividend-price ratio. We also gauge the impact of the regime switching risk on asset prices

Suggested Citation

  • Turalay Kenc, 2004. "Robust control, Regime Switching Risk and Asset Prices," Computing in Economics and Finance 2004 335, Society for Computational Economics.
  • Handle: RePEc:sce:scecf4:335

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item


    Robust Control;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:335. 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: (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.