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Knightian uncertainty in Financial Markets

Prof. Dr. Thorsten Schmidt

Friday, 2021-12-03 12:00

In this talk we revisit uncertainty in probability when the underlying probability measure can not be estimated in a reliable way which is often the case in financial markets. We will see some applications where upper and lower bounds are of interest which lead to non-linear expectation operators in contrast to the very familiar and well-known linear expectation.