Choquet Expected Utility has become increasingly popular as a characterization of uncertainty aversion, choice under probability sub-additivity, and a preference for robustness. In each case, an optimal decision involves the evaluation of the expected utility of an action over a set of...

The paper investigates portfolio strategies and derivative market making when the trader does not know the correct model. One of the puzzles from last summer's LTCM collapse was that when the Russian government defaulted, liquidity dried up. Antidotal evidence suggests that people were unable to...