Cómo los economistas eliminaron la incertidumbre de sus modelos pero no de la realidad

Recuerden que la crisis financiera tuvo mucho que ver con el hecho de que los inversores utilizaban unos modelos económicos (Value at risk) para medir el riesgo de las inversiones que suprimían los riesgos catastróficos pero altamente improbables (los “cisnes negros”). Con ello, conseguían una falsa sensación de seguridad. Cuando se producía el siniestro tan improbable, los daños resultaban catastróficos. En el trabajo que resumimos a continuación se explica cómo los economistas eliminaron la distinción entre riesgo e incertidumbre que había formulado Knight en los años 20 del pasado siglo. Véase también esta entrada que hicimos sobre un trabajo de Posner:

it may be hard to predict when a moon-sized meteor will hit Earth. But if it does, it is easy to foresee the catastrophic impact it will have…

Knightian uncertainty: distinction between measurable risk (or “risk proper”) and un-measurable uncertainty (or “true uncertainty,”  In Knight the concept plays a role in explaining the existence of entrepreneurial profit, which is a (lucky) ‘reward’ for action in the face of uncertainty in a (relatively) free enterprise economy

Rosser (2001) tells the story as follows: “the concept of uncertainty as developed by Keynes was largely hijacked by James Tobin (1959) and turned into a concept of quantifiable risk. Although risk and uncertainty are not identical concepts, Tobin made it seem acceptable to treat them as if they were, and one finds many books that will use the term “uncertainty,” which is non-quantifiable in the view of Keynes and now the Post Keynesians as well, and will discuss it in terms of objectively measurable and quantifiable risk. This approach was picked up by the emerging financial economists who would incorporate it into a model assuming rational expectations and efficient markets.

Arrow’s influential (1951) survey-article is a rhetorical masterpiece as he critically demolishes attempts to articulate a notion of uncertainty different from probable risk: “Knight’s uncertainties seem to have surprisingly many of the properties of ordinary probabilities, and it is not clear how much is gained by the distinction [between risk and uncertainty]”.

Alchian (1950) lo sustituyó por aleatoriedad (randomness)

What matters for our story here is that a concept which had been explicitly introduced to resist formalization, “uncertainty,” became tamed in various formal frameworks. While the simple displacement strategy simply wished uncertainty away, the sophisticated displacement strategy cleverly offers a way of operationalizing agents’ ignorance. But the mathematical treatments of randomness preferred in economics and finance are metaphysically not innocent. They make commitments about underlying distributions and modalities that are not warranted when one accepts genuine uncertainty. The proponents of formalization have rightly insisted on the clarity which mathematical treatments can provide. But in re-reading the mathematical economists strategies for displacing uncertainty, I have found boundless optimism about available formal techniques for the purpose of modeling, and over-eagerness in assuming away the unknown, unknowns. While the philosopher in me would like to think that certain questions would have been asked by philosophic minds (and it is worth noting that Keynes, Knight, Hayek, Shakle, Taleb never severed the link between philosophy and economics), one should also not be blind to the financial and political incentives that would motivate over-confidence in certain mathematical techniques. Society is paying a heavy price for the economists’ overconfidence

Eric Schliesser “What Happened to Knightian (and Keynesian) Uncertainty post WWII?: A Philosophic History