Pricing under asymmetry and ambiguity

Trivikram Dokka and Sonali SenGupta
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Trivikram Dokka: Queens University Belfast
Sonali SenGupta: Queens University Belfast
Authors registered in the RePEc Author Service: Sonali Sen Gupta

CRETA Online Discussion Paper Series from Centre for Research in Economic Theory and its Applications CRETA

Abstract: Robust pricing models often suffer from being overly conservative. This is due to lack of asymmetry information within the set of possible valuation distributions. However, even when information on asymmetry is available incorporating it within pricing models makes the characterization of pricing policies very difficult. Our main results address this challenge by providing an explicit characterization of the worst-case prior under the extended information setting that includes semivariance as a measure of asymmetry on top of mean and variance. We illustrate the gain from having the asymmetry information captured via semivariance.

Keywords: Pricing, Ambiguity; Distributionally Robust Mechanism; Asymmetry (search for similar items in EconPapers)
Date: 2023
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Working Paper: Pricing under asymmetry and ambiguity (2023)
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