What is included with this book?
Preface | p. x |
Getting Started | p. 1 |
Info-Gap Theory in Plain English | p. 3 |
Can Models Help? | p. 3 |
Elements of Info-Gap Theory | p. 6 |
Implications of Info-Gap Theory | p. 9 |
Applications of Info-Gap Theory | p. 11 |
A First Look: Stylized Example | p. 15 |
Problem Formulation | p. 16 |
Robustness | p. 17 |
Formulation and Derivation | p. 17 |
Trade-Off and Zeroing | p. 19 |
Preference Reversal | p. 20 |
What Do the Numbers Mean? | p. 21 |
Opportuneness | p. 22 |
Formulation | p. 22 |
Interpretation | p. 23 |
Economic Decisions | p. 27 |
Monetary Policy | p. 29 |
Taylor Rule for Interest Rates | p. 29 |
Policy Preview | p. 30 |
Operational Preview | p. 30 |
Formulation | p. 31 |
Uncertainty, Performance and Robustness | p. 33 |
Policy Exploration | p. 35 |
Expectations, Communication and Credibility | p. 41 |
Policy Preview | p. 43 |
Operational Preview | p. 44 |
Dynamics and Expectations | p. 45 |
Uncertainty and Robustness | p. 47 |
Policy Exploration | p. 49 |
Shocks, Expectations and Credibility | p. 56 |
Policy Preview | p. 56 |
Operational Preview | p. 57 |
Dynamics and Expectations | p. 58 |
Uncertainty and Robustness | p. 59 |
Policy Exploration | p. 61 |
Credibility and Interacting Agents | p. 65 |
Policy Preview | p. 66 |
Operational Preview | p. 67 |
Dynamics and Expectations | p. 68 |
Uncertainty and Robustness | p. 70 |
Policy Exploration | p. 72 |
Extensions | p. 77 |
Appendix: Auto-Regressive Representation of the Rudebusch-Svensson Model | p. 78 |
Appendix: Derivation of Expectation Coefficients | p. 79 |
Appendix: Derivation of Inverse 1-Step Robustnesses | p. 80 |
Financial Stability | p. 87 |
Structured Securities: Simple Example | p. 87 |
Policy Preview | p. 88 |
Operational Preview | p. 88 |
Formulation | p. 89 |
Uncertainty Model | p. 90 |
Robustness Functions | p. 91 |
Policy Exploration | p. 92 |
Extensions | p. 94 |
Value at Risk in Financial Economics | p. 95 |
Policy Preview | p. 97 |
Operational Preview | p. 98 |
Value at Risk: Formulation | p. 98 |
Uncertainty Model: Fat Tails | p. 99 |
Performance and Robustness | p. 101 |
Safety Factor and Incremental VaR | p. 103 |
Policy Exploration | p. 104 |
Robustness with Uncertain Normal Distributions | p. 110 |
Extensions | p. 113 |
Stress Testing: Suite of Models | p. 115 |
Suite of Models and their Uncertainties | p. 116 |
Shocks and their Uncertainties | p. 118 |
Embedding a Stress Test | p. 119 |
Strategic Asset Allocation | p. 120 |
Policy Preview | p. 121 |
Operational Preview | p. 121 |
Budget Constraint | p. 122 |
Uncertainty | p. 123 |
Performance and Robustness | p. 124 |
Opportuneness Function | p. 125 |
Policy Exploration | p. 127 |
Extensions | p. 131 |
Appendix: Derivation of an Info-Gap Model | p. 132 |
Topics in Public Policy | p. 135 |
Emissions Compliance | p. 135 |
Policy Preview | p. 136 |
Operational Preview | p. 137 |
Welfare Loss: Formulation | p. 137 |
Uncertainty | p. 139 |
Robustness | p. 140 |
Policy Exploration | p. 142 |
Extensions | p. 149 |
Enforcing Pollution Limits | p. 150 |
Policy Preview | p. 150 |
Operational Preview | p. 151 |
Economic Model | p. 152 |
Uncertainty and Robustness | p. 156 |
Policy Exploration | p. 158 |
Extensions | p. 164 |
Climate Change | p. 165 |
Policy Preview | p. 166 |
Operational Preview | p. 166 |
System Model | p. 167 |
Performance Requirement | p. 168 |
Uncertainty Models | p. 169 |
Robustness | p. 170 |
Policy Exploration | p. 172 |
Extensions | p. 176 |
Appendix: Derivation of Eq.(5.19) | p. 177 |
Appendix: Derivation of Eq.(5.22) | p. 178 |
Estimation and Forecasting | p. 179 |
Regression Prediction | p. 179 |
Policy Preview | p. 181 |
Operational Preview | p. 181 |
Regression and Robustness | p. 182 |
Policy Exploration | p. 185 |
Extensions | p. 188 |
Auto-Regression and Data Revision | p. 189 |
Policy Preview | p. 190 |
Operational Preview | p. 190 |
Auto-Regression | p. 190 |
Uncertainty and Robustness | p. 191 |
Policy Exploration | p. 193 |
Confidence Intervals | p. 197 |
Policy Preview | p. 197 |
Operational Preview | p. 197 |
Formulating the Confidence Interval | p. 198 |
Uncertainty and Robustness | p. 200 |
Policy Exploration | p. 202 |
Extension | p. 208 |
Appendix: Least Squares Regression Coefficients for Section 6.1 | p. 209 |
Appendix: Mean Squared Error for Section 6.2 | p. 209 |
Wrapping Up | p. 211 |
The Art of Uncertainty Modelling | p. 213 |
Uncertain Parameters | p. 214 |
Certainty | p. 214 |
Fractional Error | p. 214 |
Fractional Error with Bounds | p. 217 |
Calibrated Fractional Error | p. 218 |
Discrete Probability Distributions | p. 219 |
Uncertain Function | p. 220 |
Envelope Bound | p. 221 |
Slope Bound | p. 222 |
Auto-Regressive Functions | p. 225 |
Extensions | p. 226 |
Positivism, F-twist, and Robust-Satisficing | p. 227 |
Friedman and Samuelson | p. 228 |
Shackle-Popper Indeterminism | p. 230 |
Methodological Implications | p. 231 |
References | p. 233 |
Author Index | p. 241 |
Subjec Index | p. 244 |
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