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Robust Permanent Income and Pricing

In: UNCERTAINTY WITHIN ECONOMIC MODELS

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  • Lars Peter Hansen
  • Thomas J Sargent

Abstract

The following sections are included:IntroductionRecursive Risk Sensitive ControlRobust Permanent Income TheoryEstimationAsset PricingQuantifying Robustness from the Market Price of RiskIntertemporal Mean-risk Trade-offsConclusionsAppendix 3.A Subgradient InequalityAppendix 3.B Computing Prices for State-contingent UtilityAppendix 3.C Computing the Conditional Variance of the Stochastic Discount Factor

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  • Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578127_0003
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