Eliciting Ambiguous Beliefs Under alpha-Maxmin Preference

Subir Bose and Arup Daripa ()

No 1601, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

Keywords: Ambiguity; alpha-maxmin preferences; maxmin preferences; elicitation of beliefs and alpha. (search for similar items in EconPapers)
JEL-codes: D81 D82 (search for similar items in EconPapers)
Date: 2016-03
New Economics Papers: this item is included in nep-mic and nep-upt
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Citations: View citations in EconPapers (3)

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