Small noise methods for risk-sensitive/robust economies

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2012
Volume: 36
Issue: 4
Pages: 468-500

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:dyncon:v:36:y:2012:i:4:p:468-500
Journal Field
Macro
Author Count
3
Added to Database
2026-01-24