Uncertainty and Probability

Uncertainty Theory as new Probability Theory

As “P” is not exactly known, work with a whole class of probability

measuresP, (Huber, 1982, Robust Statistics)

Knightian Decision Making

Gilboa–Schmeidler:U(X) = minP∈PiEPu(x)

F ̈ollmer–Schied, Maccheroni, Marinacci, Rustichini generalize to

variational preferences

U(X) = minP EPu(X) +c(P)

for a cost functionc

do not trust your model! be aware of sensitivities! do not believe in

your EXCEL sheet!