Monday, 7 December 2009

Mathematics, Economics and Decision Making

The 2009 Alan Tayler Lecture was delivered by Prof Lord Desai of the London School of Economics and Political Science at the University of Oxford on 30 November.

I did not attend the lecture, but I understand that Lord Desai called for economists to use more sophisticated modeling techniques - i.e. not to rely on single-factor linear models when trying to understand the economy. Makes sense to me.

I shall try and get a copy of the talk.

I also recently attended a talk by Prof Lord Skidelsky who was talking about Keynes, and publicising his book Keynes: The Return of the Master. A key point made by Skidelsky was Keynes belief in "irreducible uncertainty". From the perspective of maths, there is nothing controversial in Keynes is position, the Fundamental Theorem of Asset Pricing, in noting that there are infintely many martingale measure in an incomplet market, makes the same point. As a Russian mathematician has pointed out to me, when economists talk about "rational expectations", ask them under which measure they are calculating the expectation.

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