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Eliciting Ambiguous Beliefs Under alpha-Maxmin Preference

Author

Listed:
  • Subir Bose

    (University of Leicester)

  • Arup Daripa

    (Department of Economics, Mathematics & Statistics, Birkbeck)

Abstract

We study the problem of elicitation of subjective beliefs of an agent when the beliefs are ambiguous (the set of beliefs is a non-singleton set) and the agent’s preference exhibits ambiguity aversion; in particular, as represented by alpha-maxmin preferences. We construct a direct revelation mechanism such that truthful reporting of beliefs is the agent’s unique best response. The mechanism uses knowledge of the preference parameter alpha and we construct a mechanism that truthfully elicits alpha. Finally, using the two as ingredients, we construct a grand mechanism that elicits ambiguous beliefs and alpha concurrently.

Suggested Citation

  • Subir Bose & Arup Daripa, 2016. "Eliciting Ambiguous Beliefs Under alpha-Maxmin Preference," Birkbeck Working Papers in Economics and Finance 1601, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:1601
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    File URL: https://eprints.bbk.ac.uk/id/eprint/15263
    File Function: First version, 2016
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    Cited by:

    1. Bose, Subir & Daripa, Arup, 2023. "Eliciting second-order beliefs," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    2. Bose, Subir & Daripa, Arup, 2022. "Eliciting ambiguous beliefs using constructed ambiguous acts: Alpha-maxmin," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    3. Patrick Schmidt, 2019. "Eliciting ambiguity with mixing bets," Papers 1902.07447, arXiv.org, revised Jul 2022.

    More about this item

    Keywords

    Ambiguity; alpha-maxmin preferences; maxmin preferences; elicitation of beliefs and alpha.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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