Research areas
- Econometrics and statistical inference for dynamic economic models (GMM)
- Asset pricing and stochastic discount factor decomposition
- Long-run risk, robust control under uncertainty, ambiguity aversion
- Operator and semigroup methods for nonlinear continuous-time Markov environments
- Climate-finance and pricing of climate uncertainty (recent work)
Key papers
- hansen-scheinkman-2009-long-term-risk-operator-approach — operator-theoretic decomposition of pricing semigroups; principal eigenvalue / multiplicative factorization framework that became foundational for the long-run risk literature.
- generalized-disappointment-aversion-long-run-volatility — (acknowledged; Hansen-Heaton-Li SDF formulation used as starting point for GDA extension)
Recent work
(to be filled — more Hansen papers as they are ingested)
Collaborators
- José Scheinkman (jose-scheinkman) — long-run risk operator approach
- Thomas Sargent — recursive utility, robust control, ambiguity
- John Heaton, Nan Li — long-run cash-flow risk pricing for equity portfolios
- Ravi Jagannathan — Hansen-Jagannathan bound
My notes
Nobel Memorial Prize in Economic Sciences (2013, jointly with Eugene Fama and Robert Shiller) for empirical analysis of asset prices. The 2009 Econometrica paper with Scheinkman is the load-bearing theoretical input for the CRE asset pricing project’s long-horizon Riccati recursion: the project’s “Apartment is the slow asset” gotcha is exactly a statement about the spectral gap of the Hansen-Scheinkman pricing operator for that asset class. Hansen’s broader research program on identifying permanent vs transitory components of stochastic discount factors continues to motivate the multiplicative-tail extrapolation in mc_tail.jl.