Uncertainty Within Economic Models
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Uncertainty Within Economic Models
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Author : Hansen Lars Peter
language : en
Publisher: World Scientific
Release Date : 2014-09-09
Uncertainty Within Economic Models written by Hansen Lars Peter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-09 with Business & Economics categories.
Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.
Time Ignorance And Uncertainty In Economic Models
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Author : Donald W. Katzner
language : en
Publisher: University of Michigan Press
Release Date : 1998
Time Ignorance And Uncertainty In Economic Models written by Donald W. Katzner and has been published by University of Michigan Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Formal economic analysis using Shackle's ideas of historical time and nonprobabilistic uncertainty
Uncertainty In Economics
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Author : Peter A. Diamond
language : en
Publisher: Emerald Group Publishing
Release Date : 1989
Uncertainty In Economics written by Peter A. Diamond and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
The First Edition, published in 1978, brought together classic and modern thinking in the economics of uncertainty and provided the first text in the area. This Second Edition includes three new articles, added material on search theory, an additional preface, and updated references. Articles, introduced with brief commentaries, are divided into three broad sections: theory of choice under uncertainty, general equilibrium models of financial institutions, and models of the effects of uncertainty on market institutions.
Irreversible Decisions Under Uncertainty
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Author : Svetlana Boyarchenko
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-26
Irreversible Decisions Under Uncertainty written by Svetlana Boyarchenko and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-26 with Business & Economics categories.
Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.
Economics Of Pessimism And Optimism
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Author : Kiyohiko G. Nishimura
language : en
Publisher: Springer
Release Date : 2017-11-13
Economics Of Pessimism And Optimism written by Kiyohiko G. Nishimura and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-13 with Business & Economics categories.
This is the first book to investigate individual’s pessimistic and optimistic prospects for the future and their economic consequences based on sound mathematical foundations. The book focuses on fundamental uncertainty called Knightian uncertainty, where the probability distribution governing uncertainty is unknown, and it provides the reader with methods to formulate how pessimism and optimism act in an economy in a strict and unified way. After presenting decision-theoretic foundations for prudent behaviors under Knightian uncertainty, the book applies these ideas to economic models that include portfolio inertia, indeterminacy of equilibria in the Arrow-Debreu economy and in a stochastic overlapping-generations economy, learning, dynamic asset-pricing models, search, real options, and liquidity preferences. The book then proceeds to characterizations of pessimistic (ε-contaminated) and optimistic (ε-exuberant) behaviors under Knightian uncertainty and people’s inherent pessimism (surprise aversion) and optimism (surprise loving). Those characterizations are shown to be useful in understanding several observed behaviors in the global financial crisis and in its aftermath. The book is highly recommended not only to researchers who wish to understand the mechanism of how pessimism and optimism affect economic phenomena, but also to policy makers contemplating effective economic policies whose success delicately hinges upon people’s mindsets in the market. Kiyohiko Nishimura is Professor at the National Graduate Institute for Policy Studies (GRIPS) and Professor Emeritus and Distinguished Project Research Fellow of the Center for Advanced Research in Finance at The University of Tokyo. Hiroyuki Ozaki is Professor of Economics at Keio University.
Stochastic Optimization And Economic Models
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Author : Jati Sengupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Stochastic Optimization And Economic Models written by Jati Sengupta and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.
Uncertainty In Economics
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Author : Julia Köhn
language : en
Publisher: Springer
Release Date : 2017-07-04
Uncertainty In Economics written by Julia Köhn and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-04 with Business & Economics categories.
In this book the author develops a new approach to uncertainty in economics, which calls for a fundamental change in the methodology of economics. It provides a comprehensive overview and critical appraisal of the economic theory of uncertainty and shows that uncertainty was originally conceptualized both as an epistemic and an ontological problem. As a result of the economic professions’ attempt to become acknowledged as a science, the more problematic aspect of ontological uncertainty has been neglected and the subjective probability approach to uncertainty became dominant in economic theory. A careful analysis of ontological theories of uncertainty explains the blindness of modern economics to economic phenomena such as instability, slumps or excessive booms. Based on these findings the author develops a new approach that legitimizes a New Uncertainty Paradigm in economics.
Bayesian Analysis And Uncertainty In Economic Theory
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Author : Richard Michael Cyert
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Bayesian Analysis And Uncertainty In Economic Theory written by Richard Michael Cyert and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
We began this research with the objective of applying Bayesian methods of analysis to various aspects of economic theory. We were attracted to the Bayesian approach because it seemed the best analytic framework available for dealing with decision making under uncertainty, and the research presented in this book has only served to strengthen our belief in the appropriateness and usefulness of this methodology. More specif ically, we believe that the concept of organizational learning is funda mental to decision making under uncertainty in economics and that the Bayesian framework is the most appropriate for developing that concept. The central and unifying theme of this book is decision making under uncertainty in microeconomic theory. Our fundamental aim is to explore the ways in which firms and households make decisions and to develop models that have a strong empirical connection. Thus, we have attempted to contribute to economic theory by formalizing models of the actual pro cess of decision making under uncertainty. Bayesian methodology pro vides the appropriate vehicle for this formalization.
Economic And Environmental Risk And Uncertainty
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Author : Robert Nau
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Economic And Environmental Risk And Uncertainty written by Robert Nau and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
The 1980s and 1990s have been a period of exciting new developments in the modelling of decision-making under risk and uncertainty. Extensions of the theory of expected utility and alternative theories of `non-expected utility' have been devised to explain many puzzles and paradoxes of individual and collective choice behaviour. This volume presents some of the best recent work on the modelling of risk and uncertainty, with applications to problems in environmental policy, public health, economics and finance. Eighteen papers by distinguished economists, management scientists, and statisticians shed new light on phenomena such as the Allais and St. Petersburg paradoxes, the equity premium puzzle, the demand for insurance, the valuation of public health and safety, and environmental goods. Audience: This work will be of interest to economists, management scientists, risk and policy analysts, and others who study risky decision-making in economic and environmental contexts.
Essays In The Economics Of Uncertainty
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Author : Jean-Jacques Laffont
language : en
Publisher: Harvard University Press
Release Date : 1980
Essays In The Economics Of Uncertainty written by Jean-Jacques Laffont and has been published by Harvard University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Business & Economics categories.
These three elegant essays develop principles central to the understanding of the diverse ways in which imperfect information affects the distribution of resources, incentives, and the evaluation of economic policy. The first concerns the special role that information plays in the allocation process when it is possible to improve accuracy through private investment. The common practice of hiring "experts" whose information is presumably much better than their clients' is analyzed. Issues of cooperative behavior when potential group members possess diverse pieces of information are addressed. Emphasis is placed on the adaptation of the "core" concept from game theory to the resource allocation model with differential information. The second essay deals with the extent to which agents can influence the random events they face. This is known as moral hazard, and in its presence there is a potential inefficiency in the economic system. Two special models are studied: the role of moral hazard in a monetary economy, and the role of an outside adjudicatory agency that has the power to enforce fines and compensation. The final essay discusses the problem of certainty equivalence in economic policy. Conditions under which a full stochastic optimization can be calculated by solving a related, much simpler "certainty equivalence" problem are developed. The reduction in the complexity of calculation involved is very great compared with the potential loss of efficiency.