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 October 28, 2010.

News (March 27, 2011)

Slight update: Recursive Vector Expected utility. It is still very preliminary, but I have a new section on a `martingale representation' of preferences, plus a bit more details on the Lucas tree example. Comments are still very welcome!

Older news: Final revision of Dynamic Choice under Ambiguity, now accepted for publication. Yay!

Slides for the theory student lecture at Princeton, March 23, 2010, and Chicago, May 21, 2010.

Research

Published / Forthcoming / Accepted Papers

Dynamic Choice under Ambiguity, Theoretical Economics, forthcoming.

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.

Manuscripts

Recursive Vector Expected Utility; Preliminary, March 2011. 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.

A More Robust Definition of Multiple Priors, with Paolo Ghirardato; this version June 16, 2010
Abstract. This paper provides a multiple-priors representation of ambiguous beliefs a la Ghirardato-Maccheroni-Marinacci (2004) and Nehring (2002) for any preference that is (i) monotonic, (ii) Bernoullian, i.e. admits an affine utility representation when restricted to constant acts, and (iii) suitably continuous. Monotonicity is the main substantive assumption: we do not require either Certainty Independence or Uncertainty Aversion. We characterize the set of ambiguous beliefs in terms of Clarke-Rockafellar differentials. This allows us to provide an explicit calculation of the set of priors for several recent decision models: multiplier preferences, the smooth ambiguity model, the vector expected utility model, as well as confidence function, variational, general ``uncertainty-averse'' and mean-dispersion preferences. With an eye towards applications, our results indicate how assumptions about the individual's perception of ambiguity translate to parametric restrictions in these functional representations.

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: 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.