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Eliciting Multiple Prior Beliefs

Author

Listed:
  • Mohammed Abdellaoui

    (HEC Paris - Ecole des Hautes Etudes Commerciales)

  • Philippe Colo

    (Universität Duisburg-Essen = University of Duisburg-Essen [Essen])

  • Brian Hill

    (HEC Paris - Ecole des Hautes Etudes Commerciales)

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

  • Mohammed Abdellaoui & Philippe Colo & Brian Hill, 2021. "Eliciting Multiple Prior Beliefs," Working Papers hal-03501733, HAL.
    • Handle: RePEc:hal:wpaper:hal-03501733
    DOI: 10.2139/ssrn.3859711
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    Cited by:

    1. 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.
    2. 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.
    3. Hill, Brian, 2023. "Beyond uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 141(C), pages 196-222.
    4. Bose, Subir & Daripa, Arup, 2022. "Eliciting ambiguous beliefs using constructed ambiguous acts: Alpha-maxmin," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    5. Colo, Philippe, 2021. "Expert-based Knowledge: Communicating over Scientific Models," MPRA Paper 110434, University Library of Munich, Germany.

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