Small noise methods for risk-sensitive/robust economies

被引：18
|
作者：
Anderson, Evan W. [1 ]
Hansen, Lars Peter [2 ,3 ]
Sargent, Thomas J. [3 ,4 ]
机构：
[1] No Illinois Univ, De Kalb, IL 60115 USA
[2] Univ Chicago, Chicago, IL 60637 USA
[3] NBER, Cambridge, MA 02138 USA
[4] NYU, New York, NY 10003 USA
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2012年 / 36卷 / 04期
关键词：
Computational economics; Recursive utility; Perturbation methods; Stochastic growth model; DISCRETE-TIME; CONSUMPTION; AVERSION; MODELS;
D O I：
10.1016/j.jedc.2011.11.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：468 / 500
页数：33
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