Om vikten av att skilja på risk och osäkerhet

24 March, 2013 at 18:07 | Posted in Economics | 2 Comments

riple På en punkt är det särskilt angeläget att uppgradera den finansiella kunskapen, och det är i förståelsen av osäkerhet …

Läroboken säger i praktiken att vi kan sopa osäkerheten under mattan. När den påstår att vi kan “precisera en sannolikhets-fördelning” försöker den om-vandla osäkerheten till risk …

Det är dags att inse hur farlig denna syn är. Finansmarknaderna är osäkra. Osäkerheten är inte kvantifierbar. Att försöka släta över osäkerheten och prata om risk som ett statistiskt mått är ansvarslöst, för i den sekund man formulerar en risksiffra är det många som börjar tro på den.

Bäst uttrycker kanske ändå postkeynesianernas grand old man – Paul Davidson – vikten och betydelsen av att som John Maynard Keynes (för att nu inte nämna Frank Knight och Gunnar Myrdal) skilja på probabilistisk risk och genuin osäkerhet:

uncertaintyroadUnfortunately as we have all learned in the world of experience, little is known with certainty about future payoffs of investment decisions made today. If the return on economic decisions made today is never known with certainty, then how can financial managers make optimal decisions on where to put their firm’s money and householder’s where to put their saving today?

If theorists invent a world remote from reality and then lived in it consistently, then Keynes [1936, p.16] argued these economic thinkers were “like Euclidean geometers in a non-Euclidean world who discover that apparent parallel lines collide, rebuke these lines for not keeping straight. Yet, in truth there is no remedy except to throw over the axiom of parallels and to work out a non-Euclidean geometry. Something similar is required to-day in economics” …

As any statistician will tell you, in order to draw any statistical (probabilistic risk) inferences regarding the values of any population universe, one should draw and statistically analyze a sample from that universe. Drawing a sample from the future economic universe of financial markets, however, is impossible. Simply stated the ergodic axiom presumes that the future is already predetermined by an unchanging probability distribution and therefore a sample from the past is equivalent to drawing a sample from the future … Assuming ergodicity permits one to believe one can calculate an actuarial certainty about future events from past data.

Efficient market theorists must implicitly presume decision makers can reliably calculate the future. The economy, therefore, must be governed by an ergodic stochastic process, so that calculating a probability distribution from past statistical data samples is the same as calculating the risks from a sample drawn from the future. If financial markets are governed by the ergodic axiom, then we might ask why do mutual funds that advertise their wonderful past earnings record always note in the advertisement that past performance does not guarantee future results …

This ergodic axiom is an essential foundation for all the complex risk management computer models developed by the “quants” on Wall Street. It is also the foundation for econometricians who believe that their econometric models will correctly predict the future GDP, employment, inflation rate, etc. If, however, the economy is governed by a non-ergodic stochastic process, then econometric estimates generated from past market data are not reliable estimates that would be obtained if one could draw a sample from the future …

In sum, the ergodic axiom underlying the typical risk management and efficient market models represents, in a Keynes view, a model remote from an economic reality that is truly governed by non-ergodic conditions. Keynes, his Post Keynesian followers, and George Soros all reject the assumption that people can know the economic future since it is not predetermined. Instead they assert that people “know” they cannot know the future outcome of crucial economic decisions made today. The future is truly uncertain and not just probabilistic risky.

Paul Davidson

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  1. It’s a bit of Socrates here. :)

    Then, where are expectations? They are relevant in the sense that an expectation is usually considered as what is most likely to happen in the context of uncertainty. With an expectation you have a belief centered around the future. Since “the future is truly uncertain and not just probabilistic risky” – why bother about expectations?

    Whether an expectation is the actual event taking place depends on, for instance, how (and maybe by who) the expectation is first pronounced and then if people (including yourself) “approve” to the expectation or not.

    Moving along we find another related concept in self-fulfilling prophecy. It has been explained as that an initial false definition of the situation evokes a “new” behavior which makes the original false conception come “true”. Over time one can cite a course of events as a proof that the first event, i.e. the false definition, is “true”. In reality it is a collaborating course of errors based on an argument for the existence of a first unconditioned cause – a so-called “God”.

    Going back to risks you can have expectations. During the course of events you can interfere in order to, for instance, minimize or maximize the “probability” of an unwanted or wanted outcome.

    In relation to uncertainty you cannot have expectations. Still we hear about them every day.

    It is important to distinguish risk from uncertainty. It also important to problematize expectations and detached expectation from uncertainty.

    PS. In this context it seems “strange” to talk in terms of euclidean geometry versus non-Euclidean geometry. Both are based on axioms and axioms does not rhyme with uncertainty…

  2. Bland alla tvärsäkra Maknadsekonomer, med modeller
    som förutsäger det mesta från räntenivåer,arbetslöshet
    till valutakurser osv. tja, si sådär en 5 år i förväg, med inte särskilt
    imponerande träffbild, är det befriande att det fortfarande finns
    ett fåtal som är medvetna om den roll som osäkerheten
    spelar in i ekonomiska förlopp.
    “Doktor. Kalle Sändare – på “Institutet för marknadsanalys”
    är ytterst medveten om osäkerhetens roll. Delvis kanske,som han
    utrycker “är lite ny i yrket”,men tycker denna insikt
    och ödmjukhet är ytterst beundransvärd och välsingnlelserik
    och vi bör alla lära av den :) ! Ha en riktig go sommar Lars!


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