Search Results - subject:"Robust Control"

Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management

Vardas, Giannis; Xepapadeas, Anastasios - In: Environmental & Resource Economics 45 (2010) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10008522399

Monetary Policy Mistakes and the Evolution of Inflation Expectations

Orphanides, Athanasios; Williams, John C. - Central Bank of Cyprus - 2010

What monetary policy framework, if adopted by the Federal Reserve, would have avoided the Great Inflation of the 1960s and 1970s? We use counterfactual simulations of an estimated model of the U.S. economy to evaluate alternative monetary policy strategies. We show that policies constructed...

Persistent link: https://www.econbiz.de/10008587613

Robust consumption and portfolio choice for time varying investment opportunities

Liu, Hening - In: Annals of Finance 6 (2010) 4, pp. 435-454

Persistent link: https://www.econbiz.de/10008673610

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

Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2010

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 across assets. We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor’s...

Persistent link: https://www.econbiz.de/10008468537

Monetary Policy Mistakes and the Evolution of Inflation Expectations

Orphanides, Athanasios; Williams, John C - C.E.P.R. Discussion Papers - 2010

Persistent link: https://www.econbiz.de/10008468541

Incertidumbre y politica económica : grandes problemas y pequeños modelos

Mercado, P. Ruben - In: Ensayos económicos 57/58 (2010), pp. 33-57

Persistent link: https://www.econbiz.de/10011489426

Does Model Uncertainty Justify Conservatism? Robustness and the Delegation of Monetary Policy

Tillmann, Peter - In: Contributions to Macroeconomics 9 (2009) 1, pp. 1564-1564

This paper analyzes the rationale for delegating monetary policy to an inflation-averse central banker when there is a preference for robustness of optimal policy with respect to misspecifications of the underlying model of the economy. We use a simple New Keynesian model to show how the optimal...

Persistent link: https://www.econbiz.de/10005046521

Methods for robust control

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - In: Journal of Economic Dynamics and Control 33 (2009) 8, pp. 1604-1616

Robust control allows policymakers to formulate policies that guard against model misspecification. The principal tools … used to solve robust control problems are state-space methods [see Hansen, L.P., Sargent T.J., 2008. Robustness. Princeton … (1), 31-55] to solve control problems with rational expectations can also be applied to robust control problems, with the …

Persistent link: https://www.econbiz.de/10005006669

ROBUST DYNAMIC PRICING OVER INFINITE HORIZON IN THE PRESENCE OF MODEL UNCERTAINTY

LI, GENDAO; XIONG, YU; XIONG, ZHONGKAI - In: Asia-Pacific Journal of Operational Research (APJOR) 26 (2009) 06, pp. 779-804

This paper studies a problem of dynamic pricing faced by a retailer with limited inventory, uncertain about the demand rate model, aiming to maximize expected discounted revenue over an infinite time horizon. The retailer doubts his demand model which is generated by historical data and views it...

Persistent link: https://www.econbiz.de/10008487392

How Robust is Robust Control in the Time Domain?

Tucci, Marco P. - Dipartimento di Economia Politica e Statistics, … - 2009

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation … “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker applying robust control in the time domain …

Persistent link: https://www.econbiz.de/10008528597