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ArticleRobust optimal decisions with stochastic nonlinear economic systems

Robin G. Becker1994

Article1994

Robust optimal decisions with stochastic nonlinear economic systems

Robin G. Becker · Stephen Gilroy Hall · Berç Rüstem

37 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Risk and Portfolio Optimization Monetary Policy and Economic Impact Adaptive Dynamic Programming Control

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1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1995The Role of Monetary Policy 1979Job Matchings with State Employment Agencies and Random Search 1986Specification, Estimation, and Analysis of Macroeconomic Models 1985Specification, Estimation, and Analysis of Macroeconometric Models.1988Macroeconomic Modelling 1985Simple Macropolicy Rules for the Open Economy

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2002Empirical Analysis of Policy Interventionsreport · 3 shared references 1976The arbitrage theory of capital asset pricingarticle · 2 shared references 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]chapter · 2 shared references 1970On the measurement of inequalityarticle · 2 shared references 2002Risk Aversion and Incentive Effectsarticle · 2 shared references

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Year1994

Typearticle

Published1994-01-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations37

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/0165-1889(94)90072-8

openalex_workW1999976930

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2002

A domain‐specific risk‐attitude scale: measuring risk perceptions and risk behaviorsarticle · 2 shared references