Proper scoring rules with general preferences: A dual characterization of optimal reports

Christopher Chambers, Paul J. Healy and Nicolas Lambert

Games and Economic Behavior, 2019, vol. 117, issue C, 322-341

Abstract: Proper scoring rules incentivize truthful probability reports from risk-neutral individuals. For individuals with much more general preferences (including risk and ambiguity aversion) we use duality techniques to characterize the optimal report in any proper scoring rule. We apply this characterization to several well-known families of preferences, and provide several applications. In particular, for the case of CARA and CRRA preferences we (1) can back out true beliefs from optimal reports, (2) show that the quadratic scoring rule minimizes deviations from truthfulness, and (3) provide a two-step procedure in which the agent reports her risk aversion parameter and her belief truthfully.

Keywords: Scoring rule; Probability forecast; General preferences (search for similar items in EconPapers)
JEL-codes: C90 D81 D84 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:117:y:2019:i:c:p:322-341

DOI: 10.1016/j.geb.2019.07.012

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