Search Results - subject:"Robust Control"

Robust consumption and portfolio rules with time-varying model confidence

Jang, Bong-Gyu; Lee, Seungkyu; Lim, Byung Hwa - In: Finance research letters 18 (2016), pp. 342-352

Persistent link: https://www.econbiz.de/10011657300

The impact of political uncertainty : a robust control approach

Baumann, Robert; Svec, Justin - In: The B.E. journal of economic analysis & policy 16 (2016) 2, pp. 837-863

Persistent link: https://www.econbiz.de/10011508008

Robust control of partially observable failing systems

Kim, Michael Jong - In: Operations research 64 (2016) 4, pp. 999-1014

Persistent link: https://www.econbiz.de/10011538583

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang - In: Insurance 67 (2016), pp. 77-87

Persistent link: https://www.econbiz.de/10011457158

Robust multiarmed bandit problems

Kim, Michael Jong; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 62 (2016) 1, pp. 264-285

Persistent link: https://www.econbiz.de/10011432957

Induced uncertainty, market price of risk, and the dynamics of consumption and wealth

Luo, Yulei; Young, Eric R. - In: Journal of economic theory 163 (2016), pp. 1-41

Persistent link: https://www.econbiz.de/10011593176

Robust Monetary Policy under Model Uncertainty and Inflation Persistence.

Qin, Li; SIDIROPOULOS, Moïse; Spyromitros, Eleftherios - Bureau d'Économie Théorique et Appliquée (BETA), … - 2009

This paper examines the relationship between the preference for ro- bustness of central bank (when it fears that its model is misspecified), the inflation persistence and the output cost of disinflation. Using a simple monetary game model in which higher preference for robustness of central bank...

Persistent link: https://www.econbiz.de/10005570140

Robust Equilibrium Yield Curves

Kleshchelski, Isaac; Vincent, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

This paper studies the quantitative implications of the interaction between robust control and stochastic volatility …, improving the model's ability to explain asset prices. In a robust control framework, stochastic volatility in consumption …

Persistent link: https://www.econbiz.de/10005015305

Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment

Hennlock, Magnus - Nationalekonomiska institutionen, Handelshögskolan - 2009

an extension of DICE. A representative household that expresses ambiguity aversion uses robust control to identify robust …

Persistent link: https://www.econbiz.de/10005423921

Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment

Hennlock, Magnus - 2009

aversion and can use robust control via a `shadow ambiguity premium' on social carbon cost to identify robust climate policy …

Persistent link: https://www.econbiz.de/10008458085