Small noise methods for risk-sensitive/robust economies

We provide small noise expansions for the value function and decision rule for the recursive risk-sensitive preferences specified by Hansen and Sargent (1995), Hansen et al. (1999), and Tallarini (2000). We use the expansions (1) to provide a fast method for approximating solutions of dynamic stochastic problems and (2) to quantify the effects on decisions of uncertainty and concerns about robustness to misspecification.

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Year of publication:	2012
Authors:	Anderson, Evan W. ; Hansen, Lars Peter ; Sargent, Thomas J.
Published in:	Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 36.2012, 4, p. 468-500
Publisher:	Elsevier
Subject:	Computational economics \| Recursive utility \| Perturbation methods \| Stochastic growth model

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Type of publication:	Article
Classification:	C63 - Computational Techniques ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; E20 - Consumption, Saving, Production, Employment, and Investment. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010573997