Robustness, Detection and the Price of Risk

By Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent. 2000

166 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/24d6af11d9168e5c8a085078ec2a944a7ef8cc3a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Jianjun Miao
2. Larry G. Epstein
3. Martin Schneider
4. Yan Zeng
5. Neng Wang
6. Zhongfei Li
7. Tan Wang
8. Bo Yi

Citations in the corpus

• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, methodology): “Although we have studied the impact of robustness along the line of Anderson et al. (1999), we uncovered an interesting feature in Subsection 5.1 by which the optimal investment strategy for the ANI seems to lack sensitivity to the SV parameters σ and κ.”
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, unknown): “The characterization of the optimum is applied to the generalized recursive utility speci0cation proposed by Lazrak and Quenez (2003) as a unifying extension of the usual time-additive and recursive formulations (Epstein and Zin, 1989, DuBe and Epstein, 1992b), and multiple-prior formulations (Chen ”
• A Two-Person Dynamic Equilibrium under Ambiguity (2003, methodology): “A similar structure is present in Detemple and Murthy (1994), Zapatero (1998) and Basak (2000), where individuals are heterogeneous in their (single) priors, and in Basak and Cuoco (1998), where individuals are heterogeneous in their Hnancial investment opportunities.”
• The Skew Risk Premium in the Equity Index Market (2013, unknown): “As Anderson et al. (2000) have noted, use of a misspecified model can generate spurious risk premia.”
• ROBUST PERMANENT INCOME AND PRICING WITH FILTERING (2002, methodology): “See Anderson and Moore (1979) for a discussion of innovations representations, also called Wold representations. 21. This differs from the procedure recommended by Basar and and Bernhard (1995) and Whittle (1990). The difference stems from their using a different criterion, according to which the de”
• Dynamically Consistent Nonlinear Evaluations and Expectations (2005, unknown): “16) At ⇀ At weakly in L (2)(FT ), ∀t ∈ [0, T ], (g, z) ⇀ (g, z) weakly in L(2)F(0, T ; R × R ), limn→∞ E ∫ T 0 |z t − zt| dt = 0, for each fiexd p ∈ [1, 2).”
• Wanting robustness in macroeconomics (2010, methodology): “Introducing robustness gives us an additive decomposition for qt in corresponding continuous-time models, as demonstrated by Anderson, Hansen, and Sargent (1999), Anderson, Hansen, and Sargent (2003) and Chen and Epstein (1998).”
• Recursive multiple-priors (2003, background): “Motivated by subsequent related experimental evidence and by intuition that ambiguity aversion is important much more widely, particularly in market settings, this paper addresses the following question: ‘‘Does there exist an axiomatically well-founded model of intertemporal utility that $Epstein…”
• Robust Control and Model Uncertainty (2001, methodology): “This paper describes links between the maxmin expected utility theory of Itzhak Gilboa and David Schmeidler (1989) and the applications of robust-control theory proposed by Evan Anderson et al. (2000) and Paul Dupuis et al. (1998).1 The max-min expected-utility theory represents uncertainty aversion”
• Acknowledging Misspecification in Macroeconomic Theory (2001, background): “See Anderson, Hansen, and Sargent (1999) and Hansen, Sargent, and Wang (2000) for applications to asset pricing.”
• Model Uncertainty, Limited Market Participation and Asset Prices (2005, background): “For the specific case of this section, it takes the form of (μ+v) where v satisfies: v2σ−2 ≤ φ(2) (2) where φ is a parameter that captures the investor’s uncertainty about the mean of the payoff of the stock.”
• Dynamic Coherent Risk Measures (2004, unknown): “In macroeconomics, robust decision making has been studied by Anderson et al. (2000). Last but not the least, the dynamic version of minimax expected utility in Epstein and Schneider (2003) is a form of ‘expected’ utility where the expectation is replaced with a consistent dynamic coherent risk meas”
• Solution of macromodels with HansenSargent robust policies: some extensions (2002, unknown): “, 1999), asset pricing (Anderson et al., 2003; Hansen et al., 1999; Tornell, 2000; Hansen et al., 2002), and monetary policy rules (Hansen and Sargent, 2001; Giannoni, 2002; Onatski, 2000).”