Robust Decision Theory and Econometrics

Literature Cited

1. Anderson EW, Hansen LP, Sargent TJ 2003. A quartet of semigroups for model specification, robustness, prices of risk, and model detection. J. Eur. Econ. Assoc. 1:68–123
   [Google Scholar]
2. Anscombe FJ, Aumann RJ. 1963. A definition of subjective probability. Ann. Math. Stat. 34:199–205
   [Google Scholar]
3. Barberis N. 2000. Investing for the long run when returns are predictable. J. Finance 55:225–64
   [Google Scholar]
4. Blackwell D, Girshick MA. 1954. Theory of Games and Statistical Decisions New York: Wiley
5. Campbell JY. 1999. Asset prices, consumption, and the business cycle. Handbook of Macroeconomics 1: JB Taylor, M Woodford 1231–303 Amsterdam: North Holland
   [Google Scholar]
6. Campbell JY, Viceira LM. 2002. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors Oxford, UK: Oxford Univ. Press
7. Chamberlain G. 2000a. Econometrics and decision theory. J. Econom. 95:255–83
   [Google Scholar]
8. Chamberlain G. 2000b. Econometric applications of maxmin expected utility. J. Appl. Econom. 15:625–44
   [Google Scholar]
9. Christensen T, Connault B. 2019. Counterfactual sensitivity and robustness arXiv:1904.00989v2 [econ.EM]
10. Diaconis P, Skyrms B. 2018. Ten Great Ideas About Chance Princeton, NJ: Princeton Univ. Press
11. Dupuis P, Ellis RS. 1997. A Weak Convergence Approach to the Theory of Large Deviations New York: Wiley
12. Ellsberg D. 1961. Risk, ambiguity, and the savage axioms. Q. J. Econ. 75:643–69
    [Google Scholar]
13. Epstein LG, Schneider M. 2003. Recursive multiple-priors. J. Econ. Theory 113:1–31
    [Google Scholar]
14. Epstein LG, Zin SE. 1989. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57:937–69
    [Google Scholar]
15. Epstein LG, Zin SE. 1991. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: an empirical analysis. J. Political Econ. 99:263–86
    [Google Scholar]
16. Ferguson TS. 1967. Mathematical Statistics: A Decision Theoretic Approach New York: Academic
17. Gilboa I, Schmeidler D. 1989. Maxmin expected utility with non-unique prior. J. Math. Econ. 18:141–53
    [Google Scholar]
18. Good IJ. 1952. Rational decisions. J. R. Stat. Soc. Ser. B 14:107–14
    [Google Scholar]
19. Grossman SJ, Shiller RJ. 1981. The determinants of the variability of stock market prices. Am. Econ. Rev. 71:222–27
    [Google Scholar]
20. Gumen A, Savochkin A. 2013. Dynamically stable preferences. J. Econ. Theory 148:1487–508
    [Google Scholar]
21. Hanany E, Klibanoff P. 2007. Updating preferences with multiple priors. Theor. Econ. 2:261–98
    [Google Scholar]
22. Hansen LP, Miao J. 2018. Aversion to ambiguity and model misspecification in dynamic stochastic environments. PNAS 115:9163–68
    [Google Scholar]
23. Hansen LP, Sargent TJ. 2001. Robust control and model uncertainty. Am. Econ. Rev. 91:60–66
    [Google Scholar]
24. Hansen LP, Sargent TJ. 2008. Robustness Princeton, NJ: Princeton Univ. Press
25. Hansen LP, Sargent TJ. 2015. Uncertainty Within Economic Models Singapore: World Sci.
26. Hansen LP, Sargent TJ, Turmuhambetova G, Williams N 2006. Robust control and model misspecification. J. Econ. Theory 128:45–90
    [Google Scholar]
27. Kandel S, Stambaugh RF. 1996. On the predictability of stock returns: an asset-allocation perspective. J. Finance 51:385–424
    [Google Scholar]
28. Keynes JM. 1932. 1930. Economic possibilities for our grandchildren. Essays in Persuasion JM Keynes 358–73 New York: Harcourt Brace
    [Google Scholar]
29. Kitamura Y, Otsu T, Evdokimov K 2013. Robustness, infinitesimal neighborhoods, and moment conditions. Econometrica 81:1185–201
    [Google Scholar]
30. Klibanoff P, Marinacci M, Mukerji S 2005. A smooth model of decision making under uncertainty. Econometrica 73:1849–92
    [Google Scholar]
31. Klibanoff P, Marinacci M, Mukerji S 2009. Recursive smooth ambiguity preferences. J. Econ. Theory 144:930–76
    [Google Scholar]
32. Knox TA. 2003a. Learning how to invest when returns are uncertain PhD Thesis, Harvard Univ Cambridge, MA:
33. Knox TA. 2003b. Foundations for learning how to invest when returns are uncertain Work. Pap., Univ. Chicago Chicago:
34. Kreps DM, Porteus EL. 1978. Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46:185–200
    [Google Scholar]
35. Kreps DM, Porteus EL. 1979. Dynamic choice theory and dynamic programming. Econometrica 47:91–100
    [Google Scholar]
36. Luenberger DG. 1969. Optimization by Vector Space Methods New York: Wiley
37. Maccheroni F, Marinacci M, Rustichini A 2006a. Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica 74:1447–98
    [Google Scholar]
38. Maccheroni F, Marinacci M, Rustichini A 2006b. Dynamic variational preferences. J. Econ. Theory 128:4–44
    [Google Scholar]
39. Machina MJ. 1989. Dynamic consistency and non-expected utility models of choice under uncertainty. J. Econ. Lit. 27:1622–68
    [Google Scholar]
40. Machina MJ, Schmeidler D. 1992. A more robust definition of subjective probability. Econometrica 60:745–80
    [Google Scholar]
41. Maenhout PJ. 2004. Robust portfolio rules and asset pricing. Rev. Financ. Stud. 17:951–83
    [Google Scholar]
42. Maenhout PJ. 2006. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. J. Econ. Theory 128:136–63
    [Google Scholar]
43. Manski CF. 2004. Statistical treatment rules for heterogeneous populations. Econometrica 72:1221–46
    [Google Scholar]
44. Newey WK, Smith RJ. 2004. Higher order properties of GMM and generalized empirical likelihood estimators. Econometrica 72:219–55
    [Google Scholar]
45. Pástor L, Stambaugh RF. 2009. Predictive systems: living with imperfect predictors. J. Finance 64:1583–628
    [Google Scholar]
46. Pástor L, Stambaugh RF. 2012. Are stocks really less volatile in the long run. J. Finance 67:431–77
    [Google Scholar]
47. Ramsey FP. 1931. 1926. Truth and probability. The Foundations of Mathematics and Other Logical Essays RB Braithwaite 156–98 London: Routledge
    [Google Scholar]
48. Samuelson PA. 1969. Lifetime portfolio selection by dynamic stochastic programming. Rev. Econ. Stat. 51:239–46
    [Google Scholar]
49. Savage LJ. 1954. The Foundations of Statistics New York: Wiley
50. Siegel JJ. 1992. The real rate of interest from 1800–1990: a study of the U.S. and the U.K. J. Monet. Econ. 29:227–52
    [Google Scholar]
51. Siegel JJ. 2008. Stocks for the Long Run New York: McGraw Hill
52. Sims CA. 1988. Bayesian skepticism on unit root econometrics. J. Econ. Dyn. Control 12:463–74
    [Google Scholar]
53. Sims CA. 2001. Pitfalls of a minimax approach to model uncertainty. Am. Econ. Rev. 91:51–54
    [Google Scholar]
54. Sims CA, Uhlig H. 1991. Understanding unit rooters: a helicopter tour. Econometrica 59:1591–99
    [Google Scholar]
55. Stambaugh RF. 1999. Predictive regressions. J. Financ. Econ. 54:375–421
    [Google Scholar]
56. Stoye J. 2009. Minimax regret treatment choice with finite samples. J. Econom. 151:70–81
    [Google Scholar]
57. Stoye J. 2012. New perspectives on statistical decisions under ambiguity. Annu. Rev. Econ. 4:257–82
    [Google Scholar]
58. Strzalecki T. 2011. Axiomatic foundations for multiplier preferences. Econometrica 79:47–73
    [Google Scholar]
59. Strzalecki T. 2013. Temporal resolution of uncertainty and recursive models of ambiguity aversion. Econometrica 81:1039–74
    [Google Scholar]
60. Watson J, Holmes C. 2016. Approximate models and robust decisions. Stat. Sci. 31:465–89
    [Google Scholar]
61. Weil P. 1989. The equity premium puzzle and the risk-free rate puzzle. J. Monet. Econ. 24:401–21
    [Google Scholar]
62. Xia Y. 2001. Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation. J. Finance 56:205–46
    [Google Scholar]