The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Frank Riedel (Bielefeld University)
Title: Approaches to Knightian Uncertainty in Finance and Economics
Abstract: The lecture reviews recent model of preferences under Knightian uncertainty. These approaches are closely related to attempts to quantify risk in finance. A particular focus will be on the so-called smooth model, an ambiguity-averse version of a second-order Bayesian Ansatz, that goes back to Klibanoff, Marinacci, and Mukerji (Econometrica 2005). We will study its axiomatic foundations and discuss the relationship of this approach with statistics, in particular the issue of identification of models (Denti, Pomatto, Econometrica 2022). Moreover, we show how the smooth model is related to variational and coherent risk measures. The lecture will provide the necessary background for the lecture on Friday.
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.