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Peter Hansen

Mitchell E. Daniels, Jr School of Business, Purdue University

403 Mitch Daniels Blvd.

West Lafayette, IN 47907

United States

SCHOLARLY PAPERS

5

DOWNLOADS

1,188

TOTAL CITATIONS
Rank 32,277

SSRN RANKINGS

Top 32,277

in Total Papers Citations

18

Scholarly Papers (5)

1.
Downloads 388 (191,334)
Citation 9

Robust Identification of Investor Beliefs

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-69
Number of pages: 41 Posted: 20 May 2020 Last Revised: 02 Nov 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 285 (265,881)

Abstract:

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

Cowles Foundation Discussion Paper No. 2236
Number of pages: 63 Posted: 20 May 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 63 (947,975)

Abstract:

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

NBER Working Paper No. w27257
Number of pages: 63 Posted: 02 Jun 2020 Last Revised: 24 Jun 2023
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 40 (1,224,220)
Citation 9

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2.

Individual Factor Risk Premia Can Be Identified When the Vector Cannot

Number of pages: 57 Posted: 05 Oct 2021 Last Revised: 29 Jan 2026
Peter Hansen and Maziar Kazemi
Mitchell E. Daniels, Jr School of Business, Purdue University and Arizona State University (ASU) - Finance Department
Downloads 337 (226,528)

Abstract:

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Linear factor models, Underidentification test, Risk premia

3.

Valuation Uncertainty and Dynamic Entrepreneurial Finance

Number of pages: 48 Posted: 03 Feb 2022
Peter Hansen
Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 242 (317,870)

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entrepreneurial finance, staged financing, security design, robustness, venture capital

4.

Robust Inference for Moment Condition Models without Rational Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-122
Number of pages: 56 Posted: 20 Oct 2021 Last Revised: 02 Feb 2022
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 128 (572,948)
Citation 6

Abstract:

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Subjective beliefs, bounded rationality, misspecification sets, nonlinear expectation, divergence, Lagrange multipliers, stochastic dual programming, confidence sets

5.

New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting

Journal of Economic Theory, Forthcoming
Number of pages: 44 Posted: 20 Sep 2021
Peter Hansen
Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 93 (730,864)
Citation 3

Abstract:

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ambiguity, stochastic volatility, moral hazard, capital structure, asset pricing