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Eliciting Multiple Prior Beliefs

Author

Listed:
  • Abdellaoui, Mohammed

    (HEC Paris)

  • Colo, Philippe

    (University of Duisburg-Essen)

  • Hill, Brian

    (HEC Paris)

Abstract

Despite the increasing importance of multiple priors in various domains of economics and the significant theoretical advances concerning them, choice-based incentive-compatible multiple-prior elicitation largely remains an open problem. This paper develops a solution, comprising a preference-based identification of a subject’s probability interval for an event, and two procedures for eliciting it. The method does not rely on specific assumptions about subjects’ ambiguity attitudes or probabilistic sophistication. To demonstrate its feasibility, we implement it in two incentivized experiments to elicit the multiple-prior equivalent of subjects’ cumulative distribution functions over continuous-valued sources of uncertainty. We find a predominance of non-degenerate probability intervals among subjects for all explored sources, with intervals being wider for less familiar sources. Finally, we use our method to undertake the first elicitation of the mixture coefficient in the Hurwicz α-maxmin EU model that fully controls for beliefs.

Suggested Citation

  • Abdellaoui, Mohammed & Colo, Philippe & Hill, Brian, 2021. "Eliciting Multiple Prior Beliefs," HEC Research Papers Series 1426, HEC Paris.
    • Handle: RePEc:ebg:heccah:1426
    DOI: 10.2139/ssrn.3859711
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    Citations

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    Cited by:

    1. Henkel, Luca, 2024. "Experimental evidence on the relationship between perceived ambiguity and likelihood insensitivity," Games and Economic Behavior, Elsevier, vol. 145(C), pages 312-338.
    2. Hill, Brian, 2023. "Beyond uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 141(C), pages 196-222.
    3. Karni, Edi & Vierø, Marie-Louise, 2023. "Comparative incompleteness: Measurement, behavioral manifestations and elicitation," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 423-442.
    4. Bose, Subir & Daripa, Arup, 2022. "Eliciting ambiguous beliefs using constructed ambiguous acts: Alpha-maxmin," Journal of Mathematical Economics, Elsevier, vol. 103(C).

    More about this item

    Keywords

    Multiple Priors; Belief Measurement; α-maxmin EU; Imprecise Probability;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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