Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099148 | Journal of Economic Dynamics and Control | 2012 | 33 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent,