Universität Wien
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040102 UK Decisions under Uncertainty (BA) (2014W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Wednesday 01.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.10. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 08.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.10. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 15.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.10. 13:15 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.10. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 29.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 04.11. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 05.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 11.11. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 12.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 18.11. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 19.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 25.11. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 26.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 02.12. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 03.12. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.12. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 17.12. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 07.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 13.01. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 14.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 20.01. 13:15 - 14:45 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 21.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 27.01. 13:15 - 14:45 Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 28.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

In this lecture the student will learn the basic ingredients of decision theory,
as it is needed in all disciplines of economics, including Finance and Actuarial
sciences. We start with a brief introduction into the basics of probability theory.
On this simple setting, we will introduce preference relations and discuss the
classical von Neumann-Morgenstern Theory of Choice. Robust extensions are also
discussed, so that the student gets to know the most recent advances of decision
theory under Knightian Uncertainty ("Ambiguity").

It is useful that the student will have had some introductory probability (random
variables, distribution functions, densities) and calculus (optimization of a
function), as well as some knowledge of basic microeconomics (choice theory,
utility maximization problem). None of these are, however, mandatory.

Assessment and permitted materials

There will be midterm and a final exam (written or oral, depending on the
number of participants). Additionally I will hand-out exercises which you should
solve at home. The final grade consists of a weighted average of these 3 parts.

Minimum requirements and assessment criteria

Examination topics

Reading list

There will be lecture notes made available to the students during the semester.
Beside these, I strongly recommend to look at the following textbooks:
- Probability theory: Grimmet&Stirzakker: Probabilty and Random Processes,
Oxford University Press. 3rd Edition
- Decision Theory. The text most suitable for the level of sophistication for this
course is Gerhard Sorger: Entscheidungstheorie bei Unsicherheit. UTB Verlag,
2000.
More advanced texts are:
- David M. Kreps: Notes on the theory of Choice (1988). Westview Press
- H. Föllmer und A. Schied: Stochastic Finance:Anintroduction in discretetime.
3rd Edition.
A good side reading is Itzhak Gilboa: Theory of Decision under Uncertainty
(Econometric Society Monograph Series, 2009).

Association in the course directory

Last modified: Mo 07.09.2020 15:28