Search Results - subject:"Robust Control"

Uncertainty aversion, robust control and asset holdings

Vardas, Giannis; Xepapadeas, Anastasios - 2004

Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust … control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor …

Persistent link: https://www.econbiz.de/10011602543

Uncertainty Aversion, Robust Control and Asset Holdings

Xepapadeas, Anastasios; Vardas, Giannis - 2004

Persistent link: https://www.econbiz.de/10011324938

Robust expectations and uncertain models: a robust contol approach with application to the new Keynesian economy

Kilponen, Juha - 2004

This paper extends Svensson and Woodford's (2003) partial information framework by allowing the private agents to achieve robustness against incomplete information about the structure of the economy by distorting their expectations in a particular direction.It shows how a linear rational...

Persistent link: https://www.econbiz.de/10012147904

Robust monetary policy in the New-Keynesian framework

Leitemo, Kai; Söderström, Ulf - 2004

We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques.Due to the … simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument …

Persistent link: https://www.econbiz.de/10012147929

Robust monetary policy in a model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - In: Journal of macroeconomics 34 (2012) 2, pp. 318-325

Persistent link: https://www.econbiz.de/10009689407

Robustly optimal monetary policy in a microfounded New Keynesian model

Adam, Klaus; Woodford, Michael - In: Journal of monetary economics 59 (2012) 5, pp. 468-487

Persistent link: https://www.econbiz.de/10009622326

Optimal fiscal policy with robust control

Svec, Justin - In: Journal of economic dynamics & control 36 (2012) 3, pp. 349-368

Persistent link: https://www.econbiz.de/10009515969

Balanced POD for linear PDE robust control computations

Singler, John; Batten, Belinda - In: Computational Optimization and Applications 53 (2012) 1, pp. 227-248

A mathematical model of a physical system is never perfect; therefore, robust control laws are necessary for guaranteed … computation of a robust control law for large-scale finite dimensional linear systems and a class of linear distributed parameter … algorithm based on balanced proper orthogonal decomposition to compute the nonstandard features of this robust control law …

Persistent link: https://www.econbiz.de/10010998310

Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification

Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management Science 58 (2012) 2, pp. 253-272

We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The...

Persistent link: https://www.econbiz.de/10010990532

Set coverage and robust policy

Henry, Marc; Onatski, Alexei - In: Economics Letters 115 (2012) 2, pp. 256-257

its points in robust control applications. …

Persistent link: https://www.econbiz.de/10010572165