Uncertainty as an ingredient in financial modeling

Schnappschüsse moderner Mathematik aus Oberwolfach

Uncertainty as an ingredient in financial modeling

Uncertainty – as opposed to risk – is used to describe events to which we are not able to assign a probability due to lack of information. Instead of assigning a probability to an uncertain event, we only assume that such an event is possible or that its probability is within some range. We illustrate the effects of the inclusion of uncertainty in modeling by looking at simple cases of an optimal investment problem.

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Mathematisches Fachgebiet

Wahrscheinlichkeitstheorie und Statistik

Verbindung zu anderen Gebieten

Finanzwesen
Geistes- und Sozialwissenschaft

Autor(en)

Ralf Korn

Lizenz

DOI (Digital Object Identifier)

10.14760/SNAP-2024-004-EN

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snapshot-2024-004.pdf

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