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Perturbation Methods for Risk-Sensitive Economies

Author

Listed:
  • Evan W. Anderson

    (University of Chicago)

  • Lars Peter Hansen

    (University of Chicago and NBER)

Abstract

Risk-sensitive control problems are designed to exacerbate the response of decision rules to amount of uncertainty confronting the controllers. Alternatively, they can be thought of as providing an element of robustness to the decision rules. In economies populated by risk-sensitive agents, risk sensitivity is also reflected in the equilibrium security market prices. Our paper explores alternative algorithms for computing equilibrium quantities and prices for risk sensitive economies.

Suggested Citation

  • Evan W. Anderson & Lars Peter Hansen, "undated". "Perturbation Methods for Risk-Sensitive Economies," Computing in Economics and Finance 1996 _062, Society for Computational Economics.
    • Handle: RePEc:sce:scecf6:_062
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    File URL: http://www.unige.ch/ce/ce96/ps/anders-e.eps
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    References listed on IDEAS

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    3. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729, Elsevier.
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    6. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1.
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    Cited by:

    1. Baoline Chen & Peter A. Zadrozny, 2003. "Higher-Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 45-64, February.

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