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BWEF 1601
Subir Bose and Arup Daripa
Eliciting Ambiguous Beliefs Under α-Maxmin Preference

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 α-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 α and we construct a mechanism that truthfully elicits α. Finally, using the two as ingredients, we construct a grand mechanism that elicits ambiguous beliefs and α concurrently.

Keywords: Ambiguity, α-maxmin preferences, maxmin preferences, elicitation of beliefs and α.

JEL Classification: D81, D82.

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