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Quantitative Finance > Risk Management

Title: Why Black Swan events must occur

Abstract: We show that there exist unimaginable, or Black Swan events which have the property of occurring. It follows as a corollary of our theorem that any computational model of decision-making under uncertainty is incomplete in the sense that not all events that occur can be taken into account. In the context of decision theory we argue that this constitutes a stronger sense of uncertainty than Knightian uncertainty.
Subjects: Risk Management (q-fin.RM); Logic (math.LO)
Cite as: arXiv:1803.02570 [q-fin.RM]
  (or arXiv:1803.02570v2 [q-fin.RM] for this version)

Submission history

From: Christoph Siebenbrunner [view email]
[v1] Wed, 7 Mar 2018 09:37:31 GMT (13kb)
[v2] Sat, 17 Mar 2018 14:18:03 GMT (14kb)