haku: @indexterm GROWTH / yhteensä: 1010
viite: 281 / 1010
| Tekijä: | Cagetti, M. |
| Otsikko: | Robustness and Pricing with Uncertain Growth |
| Lehti: | Review of Financial Studies
2002 : SUMMER, VOL. 15:2, p. 363-404 |
| Asiasana: | PRICING PRICES UNCERTAINTY GROWTH |
| Kieli: | eng |
| Tiivistelmä: | The authors study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large shocks and continuous small shocks. An investor observes movements in the technology level but cannot perfectly distinguish their sources. Instead the investor solves a signal extraction problem. The authors depart from most of the macroeconomics and finance literature by presuming that the investor treats the specification of technology evolution as an approximation. To promote a decision rule that is robust to model misspecification, an investor acts as if a malevolent player threatens to perturb the actual data-generating process relative to his approximating model. |
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