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Uncertainty as an ingredient in financial modeling

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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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Área matemática

Teoría de la probabilidad y Estadística

Relaciones con otros campos

Finanzas
Humanidades y Ciencias sociales

Autor(es)

Ralf Korn

Licencia

DOI (Identificador de objetos digitales)

10.14760/SNAP-2024-004-EN

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snapshot-2024-004.pdf

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snapshots: overview

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