Recursive Robust Decisions with Hidden States
نویسندگان
چکیده
We extend the recursive formulation of risk-sensitivity with discounting advocated by Hansen and Sargent (1995) to situations with a hidden state. We accomplish this by introducing two risk-sensitivity operators, each of which also expresses a concern about model misspecification. One captures a decision maker’s uncertainty about the state dynamics and the other his uncertainty about the probability distribution of a hidden component of the state vector given current information.
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تاریخ انتشار 2005