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Robustness.
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2011.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; ROBUSTNESS; Title; Copyright; Dedication; Contents; Preface; Acknowledgments; Part I: Motivation and main ideas; 1. Introduction; 2. Basic ideas and methods; 3. A stochastic formulation; Part II: Standard control and filtering; 4. Linear control theory; 5. The Kalman filter; Part III: Robust control; 6. Static multiplier and constraint games; 7. Time domain games for attaining robustness; 8. Frequency domain games and criteria for robustness; 9. Calibrating misspecification fears with detection errorprobabilities; 10. A permanent income model; Part IV: Multi-agent problems.
- 11. Competitive equilibria without robustness12. Competitive equilibria with robustness; 13. Asset pricing; 14. Risk sensitivity, model uncertainty, and asset pricing; 15. Markov perfect equilibria with robustness; 16. Robustness in forward-looking models; Part V: Robust estimation and filtering; 17. Robust filtering with commitment; 18. Robust filtering without commitment; Part VI: Extensions; 19. Alternative approaches; References; Index; Author Index; Matlab Index.