## Robust-H[infinity Symbol] Forecasting and Asset Pricing Anomalies, Issue 7753 |

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7t+i agent and nature asset pricing anomalies average Bayes law Bayesian bounded budget constraints conditional on xt+i consider consistent with dividend consumption and portfolio data generating process degree of robustness denote derive disturbance attenuation parameter disturbance vt+i dividend history dividend sequences dt+i dynamic game equal equilibrium prices equity premium equity premium puzzle excess returns excess volatility exchange economy filter follows forecasts and portfolio I2 norm induced objective literature macroeconomic Markov strategies mean square error mean variance misspecification NBER Working Papers Note Number optimal control persistent component portfolio policies portfolio strategies predictability of excess price formula price vector probability distribution Problem H Proposition 2.2 quadratic rational expectations regression representative agent risk free rate risk-free interest rate robust agent robust control safe asset setup agents simulations solution solve Problem square summable stochastic process stock price subsection Theorem 3.1 Woo approach Woo forecasts Woo price Woo-control yt+i Zt+i