Marciano's Picture Marciano Siniscalchi
Professor of Economics
3223 Andersen Hall, Department of Economics
Northwestern University
Phone: (847) 491-5398
email: marciano AT northwestern DOT edu

My Curriculum Vitae
updated February 2014.

News (February 3, 2016)

A brand new version of my joint paper with Paolo Ghirardato, Risk Sharing in the Small and in the Large is now available. Get it from the Manuscripts section below.

Inching ever closer to completion (really!): a paper on the foundations of sequential rationality. Decision theory meets game theory, with some results having implications for experimental economics as well. Stay tuned!


Published / Forthcoming / Accepted Papers

Ambiguity in the small and in the large (former title: "A more robust definition of multiple priors"). Econometrica, forthcoming (final version June 2012).
Supplemental appendix with an axiomatization of locally Lipschitz and "nice" preferences, plus additional results.
Previous version with additional material and extensive calculations for specific decision models.

Dynamic Choice under Ambiguity, Theoretical Economics, vol. 6 n.3, September 2011.

Two out of three ain't bad: a comment on 'The ambiguity aversion literature: A critical assessment', Economics and Philosophy, Vol. 25 n.3, 2009.

Vector Expected Utility and Attitudes toward Variation, Econometrica, Vol. 77 n. 3, May 2009. Supplementary material. Also see the additional material below (under Manuscripts).

Parental Guidance and Supervised Learning, with Alessandro Lizzeri. Quarterly Journal of Economics, vol. 123 n. 3, August 2008. The working-paper version has additional material, so we are keeping it available for download.

Interactive epistemology in games with payoff uncertainty, with Pierpaolo Battigalli. Research in Economics, vol. 61, 2007.

A Behavioral Characterization of Plausible Priors, Journal of Economic Theory vol. 128, 2006. See also the Online Appendix for additional results and omitted proofs.

Efficient Sorting in a Dynamic Adverse-Selection Model, with Igal Hendel and Alessandro Lizzeri. Review of Economic Studies vol. 72 n. 2, April 2005. See also the Web Appendix for additional results and omitted proofs.

A Subjective Spin on Roulette Wheels, with Paolo Ghirardato, Fabio Maccheroni and Massimo Marinacci; Econometrica , vol. 71 n. 6, November 2003.

Rationalization and Incomplete Information, with Pierpaolo Battigalli. Advances in Theoretical Economics, Vol. 3 No. 1, Article 3. BEPRess link:

Rationalizable Bidding in First-Price Auctions, with Pierpaolo Battigalli. Games and Economic Behavior, 45, October 2003, pp. 38-72.

Strong Belief and Forward-Induction Reasoning, with Pierpaolo Battigalli; Journal of Economic Theory (2002), 106 no. 2, pp. 356-391.

Hierarchies of Conditional Beliefs and Interactive Epistemology in Dynamic games, with Pierpaolo Battigalli. Journal of Economic Theory (1999), 88, 188-230. Additional material not in the published version.

Interactive Beliefs, Epistemic Independence and Strong Rationalizability, with Pierpaolo Battigalli. Research in Economics (1999) 53, 247-273.


Risk Sharing in the Small and in the Large, with Paolo Ghirardato; February 2016.
Abstract. This paper analyzes risk sharing in economies with no aggregate uncertainty when agents have non-convex preferences. In particular, agents need not be globally risk-averse, or uncertainty-averse in the sense of Schmeidler (1989). We identify a behavioral condition under which betting is inefficient (i.e., every Pareto-efficient allocation provides full insurance, and conversely) if and only if agents' subjective beliefs (defined as in Rigotti, Shannon, and Strzalecki, 2008) have a non-empty intersection. Our condition is consistent with empirical and experimental evidence documenting violations of convexity in either outcomes or utilities. Our results show that the connection between speculative betting and inconsistent beliefs is robust to substantial departures from convexity.

Lexicographic Beliefs and Assumption, with Eddie Dekel and Amanda Friedenberg; December 2014.
Abstract. Lexicographic beliefs have become a standard tool in studying refinements and providing epistemic characterizations of solution concepts. In particular, Brandenburger, Friedenberg and Keisler (BFK, Econometrica, 2008) use these beliefs to provide an epistemic characterization of iterated admissibility, i.e., iterated removal of weakly dominated strategies. However, BFK restricts attention to lexicographic beliefs whose component measures are mutually singular. Loosely speaking, this is the restriction that the supports are disjoint. The restriction does not have a compelling behavioral foundation, or a clear intuitive interpretation. At the same time, it plays a crucial role in BFK's analysis. Specifically, central to BFK's analysis is the concept of "assumption." BFK employs a characterization of "assumption" that fails for lexicographic beliefs which are not mutually singular. We provide an alternate characterization of "assumption," which applies to arbitrary lexicographic beliefs. Leveraging this result, we show that mutual singularity of lexicographic beliefs does not play any role in the epistemic characterization of iterated admissibility.

Recursive Vector Expected Utility; Preliminary version, May 2010. Comments welcome!
Abstract. This paper proposes and axiomatizes a recursive version of the vector expected utility (VEU) decision model (Siniscalchi, 2009). Recursive VEU preferences are dynamically consistent and ``consequentialist.'' Dynamic consistency implies standard Bayesian updating of the baseline (reference) prior in the VEU representation, but imposes no constraint on the adjustment functions and one-step-ahead adjustment factors. This delivers both tractability and flexibility. Recursive VEU preferences are also consistent with a dynamic, i.e. intertemporal extension of atemporal VEU preferences. Dynamic consistency is characterized by a time-separability property of adjustments---the VEU counterpart of Epstein and Schneider (2003)'s rectangularity for multiple priors. A simple exchangeability axiom ensures that the baseline prior admits a representation a la de Finetti, as an integral of i.i.d. product measures with respect to a unique probability µ. Jointly with dynamic consistency, the same axiom also implies that µ is updated via Bayes' Rule to provide an analogous representation of baseline posteriors. Finally, an application to a dynamic economy a la Lucas (1978) is sketched.

Additional Material for Vector Expected Utility...
December 2007 version; contains an alternative formulation and additional results.
Machina's Reflection Example and VEU Preferences: a Very Short Note. Shows that VEU preferences that are ambiguity-averse in the sense of Ghirardato and Marinacci (2002), but not in the sense of Schemidler (1989), can accommodate Machina's now-famous example.

Bayesian Updating for General Maxmin-Expected Utility Preferences, September 2001. The main result of this paper has been incorporated in Section 4 of ``Dynamic Choice under Ambiguity'', available above. So this paper is basically obsolete...

Contributed Papers

Epistemic Game Theory, January 2014; with Eddie Dekel. Forthcoming in the Handbook of Game Theory, vol. 4. See also Online appendix, with Eddie Dekel and Luciano Pomatto.

Ambiguity and Ambiguity Aversion, June 2013; with Mark Machina. In the Handbook of the Economics of Risk and Uncertianty, 2014.

Epistemic Game Theory: Beliefs and Types, March 2007. Marciano Siniscalchi, The New Palgrave Dictionary of Economics, forthcoming, Palgrave Macmillan, reproduced with permission of Palgrave Macmillan.

Ambiguity and Ambiguity Aversion, March 2005. Marciano Siniscalchi, The New Palgrave Dictionary of Economics, forthcoming, Palgrave Macmillan, reproduced with permission of Palgrave Macmillan.

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