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Robust estimation and control under commitment
15 references·13 citing·48 second hop
Robust estimation and control under commitment (2005)Robust estimation and control under commi…Recursive robust estimation and control without commitment (2007)Recursive robust estimation a…Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas (2007)Benefits from U.S. Monetary P…Variational representation of preferences under ambiguity (2004)Variational representation of…Recursive multiple-priors (2003)Recursive multiple-priorsA Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Econometric applications of maxmin expected utility (2000)Econometric applications of m…Learning by Doing and the Choice of Technology (1996)Learning by Doing and the Cho…Learning and Strategic Pricing (1996)Learning and Strategic PricingA New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…CHAPMAN AND HALL (1985)CHAPMAN AND HALLSelection and the Evolution of Industry (1982)Selection and the Evolution o…Job Matching and the Theory of Turnover (1979)Job Matching and the Theory o…An Asymptotic Theory of Growth Under Uncertainty (1975)An Asymptotic Theory of Growt…Theory of Games and Statistical Decisions. 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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. 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this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1982Selection and the Evolution of Industry4,555 cited
  • 1985CHAPMAN AND HALL4,352 cited
  • 1979Job Matching and the Theory of Turnover3,125 cited
  • 1955Theory of Games and Statistical Decisions.1,032 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2003Recursive multiple-priors868 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 1996Learning by Doing and the Choice of Technology482 cited
  • 1975An Asymptotic Theory of Growth Under Uncertainty322 cited
  • 1996Learning and Strategic Pricing238 cited
  • 2007Recursive robust estimation and control without commitment211 cited
  • 2007Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas70 cited
  • 2000Econometric applications of maxmin expected utility65 cited
  • 2004Variational representation of preferences under ambiguity21 cited

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  • 2009Doubts or variability?181 cited
  • 2010Ambiguity Shifts and the 2007-2008 Financial Crisis76 cited
  • 2018Uncertainty Aversion and Systemic Risk71 cited
  • 2016Sovereign Default Risk and Uncertainty Premia54 cited
  • 2016Robustly Strategic Consumption–Portfolio Rules with Informational Frictions49 cited
  • 2014Monetary policy, doubts and asset prices46 cited
  • 2015Robust Multiarmed Bandit Problems46 cited
  • 2012International Portfolio Allocation under Model Uncertainty39 cited
  • 2014The Term Structure of the Welfare Cost of Uncertainty24 cited
  • 2007Optimal Constrained Interest‐Rate Rules20 cited
  • 2021Robustly optimal monetary policy in a new Keynesian model with housing18 cited
  • 2011Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds18 cited
  • 2018Leaning Against Housing Prices as Robustly Optimal Monetary Policy16 cited