Robustness and Pricing with Uncertain Growth

By M. Cagetti, Lars Peter Hansen, Thomas J. Sargent, Noah Williams. 2002

207 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/17c080e8bb72e98e18d1d8bb3c7d63223f3ea8a0

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In Economics and Econometrics

Citations in the corpus

Ambiguous Business Cycles (2014, methodology): “models of ambiguity aversion described by “multiplier” preferences (for example, Hansen, Sargent and Tallarini Jr (1999), Cagetti et al. (2002), Bidder and Smith (2012)). They assume that agents act as if they evaluate plans using a worst case belief that minimizes the sum of expected utility and a ”
Information Acquisition and Under-Diversification (2010, methodology): “In robustness, it is interpreted as a reduction in measurement error Cagetti et al. (2002).”
The Worst Case for Real Options (2010, background): “For instance, such a situation occurs in today’s practice in fast developing industries due to the presence of high frequency shocks linked with forthcoming technological innovations (see [1]).”
The Declining Equity Premium: What Role Does Macroeconomic Risk Play? (2008, unknown): “For example, the broadly successful habit-based asset-pricing model explored by Campbell and Cochrane (1999) has steady state relative risk aversion of 80, and rises to values in the hundreds away from steady state. The asset pricing model with idiosyncratic risk explored by Constantinides and Du¢ e”
The Market Price of Risk and the Equity Premium (2005, background): “, see Rietz (1988), Cecchetti et al. (2000), and Abel (2002). Other papers endogenously perturb agents’ beliefs. Thus, Hansen et al. (1999), Cagetti et al.”
Learning in Financial Markets (2009, background): “Learning can also generate higher equity premia when investors are averse to ambiguity (e.g., Cagetti et al. (2002), Leippold et al. (2008), Epstein and Schneider (2008)).”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “In practice one would expect it to reflect a drop in the labor productivity of management or other employees not directly related to increasing the scale of production (such as the legal or human resources department).”
Learning Under Ambiguity (2007, unknown): “[9]) do not allow the ‘concern for robustness’ to change in response to new observations.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Ξ (·|) :  ∈  ()  ∈  3⁄4  (24)”
Ambiguity, Learning, and Asset Returns (2009, unknown): “Tel: (617) 353 6675.”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “Similarly, existing robust control models [Hansen, Sargent, and Tallarini (1999), Cagetti et al. (2002) ] do not allow the ‘concern for robustness’ to change in response to new observations.”