Robust control and model misspecification

By Lars Peter Hansen, Thomas J. Sargent, Gauhar Turmuhambetova, Noah Williams. Journal of Economics Theory, 2006

377 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f614fd5a41627010cba56690d8d2c2969325085e

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Citations in the corpus

ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (2015, background): “Anderson, Hansen, and Sargent (2003) and Hansen et al. (2006) then introduced and discussed the basic problem of robust utility maximization, penalized by a relative entropy term of the model uncertainty Q ∈ P with respect to a given reference probability measure.”
Approximate Models and Robust Decisions (2014, background): “The function maximisation problem, π sup a,C = arg supπ∈ C Eπ [La(θ)], has an unconstrained Lagrange dual form (see, e.g., Hansen et al., 2006, pages 58–60), π sup a,C = arg inf π∈M { Eπ [−La(θ)] + η−1a KL(π‖πI )} for some ηa = ηa(C) is a penalisation parameter with ηa ∈ [0,∞), and is monotone…”
Pollution Control with Uncertain Stock Dynamics: When, and How, to be Precautious (2012, background): “[15] extended Gilboa and Schmeidler’s insight to continuous-time dynamic optimization problems, introducing the concept of robust control to economic environments.”
A Stochastic Control Approach to a Robust Utility Maximization Problem (2007, methodology): “We explicitly mention here the two papers [1] and [11] which also contain more references.”
Ambiguity Aversion and Model Misspecification: An Economic Perspective (2016, methodology): “This suggests a direct connection between the more special Gilboa and Schmeidler (1989) approach and that of Maccheroni, Marinacci and Rustichini (2006b) in many applications, including those explored by Hansen and Sargent (2001) and Hansen et al. (2006) and mentioned in Watson and Holmes (2016).”
Statistical decisions under ambiguity (2011, background): “…prominence, with different approaches being represented, among others, by the “robust control” literature initiated by Hansen and Sargent (see in particular Hansen et al. 2006), by Brock, Durlauf, and West (2003), by Onatski and Williams (2003), and by Sala-i-Martin, Doppelhofer, and Miller (2004).”
The Worst Case for Real Options (2010, background): “[10] and [11]) that Bellman equations arising from stochastic differential utility optimization and Bellman equations arising in robust control settings are of the same form.”
Dynamic variational preferences (2006, background): “The notion of ambiguity aversion has found an important application in the last years in the literature, pioneered by Hansen and Sargent (see, e.g., [11] and [ 12 ] for details and references), that applies the idea of robust control to agents’ choices in macroeconomic models.”
Robust risk measurement and model risk (2014, positive): “Our approach builds on the robust control ideas developed in Hansen and Sargent (2007), Hansen et al. (2006), and Petersen et al. (2000), and applied to dynamic portfolio selection in Glasserman and Xu (forthcoming).”
Intermediary Leverage Cycles and Financial Stability (2012, positive): “Hansen et al. (2006) show how to move from the nonsequential robust controls problems to sequential problems.”
AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (2008, positive): “Anderson, Hansen, and Sargent, 2003; Hansen, Sargent, Turmuhambetova, and Williams, 2006 ) provide more examples and further elaborate the connections of the model misspeciflcation adjustment of the value function of the agent to the max-min expected utility of Gilboa and Schmeidler (1989) and recu”