We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its

relation to economic viability, and the existence of suitable nonlinear pricing ex-

pectations. Classical financial markets under risk and no ambiguity are contained

as special cases, including various forms of the Efficient Market Hypothesis. For

Knightian uncertainty, our approach unifies recent versions of the Fundamental

Theorem of Asset Pricing under a common framework.