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For linear quadratic Gaussian problems, this paper uses two risk-sensitivity operators defined by Hansen and Sargent (2007c) to construct decision rules that are robust to misspecifications of (1) transition dynamics for possibly hidden state variables, and (2) a probability density over hidden states induced by Bayes' law. Duality of risksensitivity to the multiplier min-max expected utility theory of Hansen and Sargent (2001) allows us to compute risk-sensitivity operators by solvingdoi:10.1016/j.jedc.2010.05.004 fatcat:mpm3rfpx3jfqnf5j7dlps2amzy