The pre-modern economy had some particularities compared to today. For one, its most important sector, agriculture, was much more vulnerable to weather shocks. Secondly, the flow of goods and information was much more cumbersome and slower, and the uncertainties associated with the mobility of people, goods and money were manifold. This led to comparatively high risks and generally higher transaction costs compared to the intrinsic value of the goods. Recent research has shown that the economic behavior of many actors in the pre-modern era was not characterized by the “alterity” postulated by older research. Using examples from agriculture, (long-distance) trade and the financial system, we show that many economic actors used their experiences to form sensible expectations about the future and acted according to a sensible purpose-means ratio, just as they do today. In commerce in particular, mechanisms to reduce uncertainty took a similar form over large parts of Europe, supporting the mobility of people, goods and money. However, we are reluctant to postulate that their economic behavior may have been informed by rational expectations in the sense of modern economic theory because this concept requires that (incalculable) uncertainty might be transformed into (calculable) risks. Such an understanding of “rationality” as the absence of uncertainty does not appreciate the degree to which pre-modern economic activity remained incalculable due not only to changing market situations but also weather shocks, cattle diseases, plagues, shipwreck, wars, uprisings and other contingencies.