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 March 1st, 2012.
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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 |
Major revision of my paper with Paolo Ghirardato on robust multiple priors, Clarke differentials, and all that. We have a new title: Ambiguity in the small and in the large. Believe it or not, it is actually pretty descriptive of what the paper is about. Check out the paper in the Manuscript section!
Slides for the theory student lecture at Princeton, March 23, 2010, and Chicago, May 21, 2010.
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: http://www.bepress.com/bejte/advances/vol3/iss1/art3.
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.
Ambiguity in the small and in the large (former title: "A more robust definition of multiple priors"); March 2012.
Abstract.
This paper considers local and global multiple-prior representations of ambiguity for preferences that are (i) monotonic, (ii) Bernoullian, i.e. admit an affine utility representation when restricted to constant acts, and (iii) locally Lipschitz continuous. We do not require either Certainty Independence or Uncertainty Aversion. We show that the set of priors identified by Ghirardato, Maccheroni and Marinacci (2004)'s `unambiguous preference' relation can be characterized as a union of Clarke differentials. We then introduce a behavioral notion of `locally better deviation' at an act, and show that it characterizes the Clarke differential of the preference representation at that act. These results suggest that the priors identified by these preference statements are directly related to (local) optimizing behavior.
Previous version with additional material and extensive calculations for specific decision models.
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...
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.