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Robust decision making implies welfare costs or robustness premia when the approximating model is the true data generating process. To examine the importance of these premia at the aggregate level we employ a simple two-sector dynamic general equilibrium model with human capital and introduce an...
Persistent link: https://www.econbiz.de/10008697052
Robust decision making implies welfare costs or robustness premia when the approximating model is the true data generating process. To examine the importance of these premia at the aggregate level we employ a simple two-sector dynamic general equilibrium model with human capital and introduce an...
Persistent link: https://www.econbiz.de/10013316155
Persistent link: https://www.econbiz.de/10003335327
The authors adapt modern control theoretic techniques based on robust control theory to economic modelling and decision … entropy and in this sense the robust control theory is not only adapted but also extended in the book. The main issues … noncooperative game theory to solve the formulated decision making problems. The book is self-contained and rigorous and may be …
Persistent link: https://www.econbiz.de/10003539380
Persistent link: https://www.econbiz.de/10003496553
Terry L. Roe • Rodney B.W. Smith D. §irin Saracoglu Multisector Growth Models Theory and Application 4y …
Persistent link: https://www.econbiz.de/10003583060
This book provides a reader with a practical foundation in general equilibrium theory, embeds the theory in a multi …-sector dynamic framework, discusses how to practically link the theory to real economic data, and provides clear instructions on how … book pulls it all together in a conceptually sound, yet practical, manner, and brings the theory to life. A unique feature …
Persistent link: https://www.econbiz.de/10013521281
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...
Persistent link: https://www.econbiz.de/10013072977
This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...
Persistent link: https://www.econbiz.de/10010240307
Persistent link: https://www.econbiz.de/10010350862