haku: @author Hansen, L. / yhteensä: 4
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| Tekijä: | Hansen, L. Sargent, T. Tallarini, T. Jr. |
| Otsikko: | Robust permanent income and pricing |
| Lehti: | Review of Economic Studies
1999 : OCT, VOL. 66(4):229, p. 873-907 |
| Asiasana: | ECONOMICS PRICING INCOMES |
| Kieli: | eng |
| Tiivistelmä: | This paper studies consumption and savings profiles and security market prices in a permanent income model when consumers are robust decision makers. Robust decision makers and expected utility maximizers share a common probabilistic speculation of the income shocks. But robust decision makers suspect specification errors and want decisions to be insensible to them. The authors show how a preference for robustness lies concealed within the quantity implications of the permanent income model and how it can be revealed by market-based measures of "risk-aversion". |
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