Ese es el propósito de un reciente post de The Psy- Fi Blog. Entre los distintos puntos que hace, el mismo reitera la diferencia entre riesgo e incertidumbre a la hora de armar modelos para explicarlos.
Uncertainty is the type of randomness in systems that can’t be predicted by statistical analysis, which is contrasted with risk, which is randomness that can be predicted. This distinction was originally made by Frank Knight and focussed on the difference between, say, the volatility of stock prices you see in so-called equilibrium conditions – when the variation in prices is statistically quantifiable – and the affects of an event like 9/11. The former is risk, the latter uncertainty. Physics is essentially about measurable risk while economics is about risk and unmeasurable uncertainty which means that there’s always a chance that any nice statistical models will be wrecked by the random behaviour of human beings.
El paper de Andrew Lo sobre el tema, fue referenciado en un post anterior de QF Club Blog.
Update: Andrew Lo hablando en Sloan School of Management MIT.