Eliciting Ambiguous Beliefs Under Alpha-Maxmin Preference

20 Pages Posted: 19 Mar 2016 Last revised: 6 Aug 2017

See all articles by Subir Bose

Subir Bose

University of Leicester - Department of Economics

Arup Daripa

Birkbeck, University of London

Date Written: June 1, 2017

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

JEL Classification: D81, D82

Suggested Citation

Bose, Subir and Daripa, Arup, Eliciting Ambiguous Beliefs Under Alpha-Maxmin Preference (June 1, 2017). Available at SSRN: https://ssrn.com/abstract=2749424 or http://dx.doi.org/10.2139/ssrn.2749424

Subir Bose

University of Leicester - Department of Economics ( email )

Department of Economics
Leicester LE1 7RH, Leicestershire LE1 7RH
United Kingdom

Arup Daripa (Contact Author)

Birkbeck, University of London ( email )

Malet Street
Bloomsbury
London, WC1E 7HX
United Kingdom

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