Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent
A representative agent fears that his model, a continuous time Markov process with jump and di#usion components, is misspecified and therefore uses robust control theory to make decisions. Under the...
Do Heterogeneous Beliefs Matter for Asset Pricing? (2005)
Anderson, Evan W., Ghysels, Eric, Juergens, Jennifer L.
We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on...
Do Heterogeneous Beliefs Matter for Asset Pricing? (2005)
Anderson, Evan W., Ghysels, Eric, Juergens, Jennifer L.
We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on...
Robustness, Detection and the Price of Risk (2000)
Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent
This paper is about models with agents whose doubts about model specification cause them to value decision rules that perform well across a set of models. Agents fear difficult-to-detect...
Uncertainty and the dynamics of Pareto optimal allocations /--by Evan W. Anderson. (1998)
Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 1998.
Uncertainty and the dynamics of Pareto optimal allocations / (1998)
Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 1998.
Risk and Robustness in General Equilibrium (1998)
Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent
This paper extends the analysis of HST to economies with equilibrium allocations that solve continuous time optimal resource allocation problems. Most of our results exploit the analytical...
Mechanics of Forming and Estimating Dynamic Linear Economies (1996)
Evan W. Anderson, Lars Peter Hansen, Ellen R. Mcgrattan, Ellen R. Mcgrattan, Thomas J. Sargent, Thomas J. Sargent
This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a...
Mechanics of Forming and Estimating Dynamic Linear Economies (1996)
Evan W. Anderson, Evan W. Anderson, Lars Peter Hansen, Lars Peter Hansen, Ellen R. Mcgrattan, Ellen R. Mcgrattan, ...
This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a...
On the mechanics of forming and estimating dynamic linear economies
Evan W. Anderson, Lars Peter Hansen, Ellen R. McGrattan, Thomas J. Sargent
This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a...
Mechanics of forming and estimating dynamic linear economies
Anderson, Evan W., McGrattan, Ellen R., Hansen, Lars Peter, Sargent, Thomas J., H. M. Amman, D. A. Kendrick, ...
Chapter 4 Mechanics of forming and estimating dynamic linear economies
Anderson, Evan W., McGrattan, Ellen R., Hansen, Lars Peter, Sargent, Thomas J.
Do Heterogeneous Beliefs Matter for Asset Pricing?
Evan W. Anderson, Eric Ghysels, Jennifer L. Juergens
We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on...
A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent
A representative agent fears that his model, a continuous time Markov process with jump and diffusion components, is misspecified and therefore uses robust control theory to make decisions. Under the...
Perturbation Methods for Risk-Sensitive Economies
Evan W. Anderson, Lars Peter Hansen
Risk-sensitive control problems are designed to exacerbate the response of decision rules to amount of uncertainty confronting the controllers. Alternatively, they can be thought of as providing an...