Robustness and Uncertainty Aversion

By Lars Peter Hansen, Thomas J. Sargent, Gauhar Turmuhambetova, Noah Williams. 2002

71 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f28caf9aa32864be4502d6adf084fe3f3182e400

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Citations in the corpus

• Dynamic Portfolio Choice and Risk Aversion (2007, background): “As shown in Skiadas (2003), Duffie‐Epstein utility includes the “robust” specifications of Anderson et al. (2000), Hansen et al. (2001) and Maenhout (1999).”
• Model Misspecification and Under-Diversification (2003, unknown): “6 To elaborate, suppose that the data set available to the investor has T See Anderson, Hansen, and Sargent (1999) and Hansen and Sargent (2001a) for other interpretations of the index L(ξ).”
• A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION (2003, unknown): “Hansen and Scheinkman (2002) exploited this insight.”
• A Smooth Model of Decision Making under Ambiguity (2005, unknown): “Next we relate our behavioral definition of ambiguity to the behavioral definition proposed by Ghirardato and Marinacci (2002). The definition they propose applies to a very general class of preferences which includes the preferences axiomatized in the present paper.”
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, unknown): “cation 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 and Epstein, 2002; Anderson et al.”
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005, unknown): “The robust control framework can be linked to the stochastic differential utility of Duffie and Epstein (1992); see Maenhout (2004), Hansen et al. (2001), and Skiadas (2003).”
• Decision making with imprecise probabilistic information (2004, methodology): “These experiments have led to a host of models of decision under uncertainty, such as the Choquet expected utility model (Schmeidler (1989)) or the multiple prior model (Gilboa and Schmeidler (1989)), capturing the fact that agents might have aversion towards uncertainty.”