**Definition:**If outcomes will occur with a probability that cannot even be estimated, the decisionmaker faces uncertainty.

This meaning to uncertainty is attributed to Frank Knight, and is sometimes
referred to as *Knightian uncertainty*.

The decisionmaker can apply game theory even in such a circumstance, e.g. the choice of a dominant strategy.

Kreps (1988), p 31, writes that three standard ways of modeling choices made under conditions of uncertainty are with von Neumann-Morgenstern expected utility over objective uncertainty, the Savage axioms for modeling subjective uncertainty, and the Anscombe-Aumann theory which is a middle course between them.

A recent ad for a new book edited by Haim Levy (*Stochastic Dominance:
Investment Decision Making under Uncertainty*) considers three ways of
modeling investment choices under uncertainty: by tradeoffs between mean and
variance, by choices made by stochastic dominance, and non-expected
utility approaches using prospect theory.

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