Associate 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 December 17. 2008.
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Marciano Siniscalchi
Associate Professor of Economics 3223 Andersen Hall, Department of Economics Northwestern University Phone: (847) 491-5398 email: marciano AT northwestern DOT edu
My Curriculum Vitae |
Revised: ``Dynamic Choice under ambiguity.'' Better organization, plus new discussion of reduction and recursion, and a streamlined discussion of consequentialism. Get it from the Manuscripts section.
Also, New paper: ``A more robust definition of multiple priors,'' with Paolo Ghirardato. Download it below from the Manuscripts section. The current draft (May 24 26, 2009) is preliminary: comments are very welcome, and do check back for the latest version. We are hard at work...
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.
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.
A More Robust Definition of Multiple Priors, with Paolo Ghirardato; May 24 26, 2009.
Abstract.
This paper provides a multiple-priors representation of ambiguous beliefs a la Ghirardato-Maccheroni-Marinacci (2004) 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, and general ``uncertainty-averse'' preferences.
Under our assumptions, preferences can be represented by means of a monotonic, continuous function of expected utilities computed with respect to the set of ambiguous beliefs we identify. This can be a useful tool in the construction of novel representations of preferences. To illustrate, we axiomatize a generalization of the vector expected utility model of Siniscalchi (2009, forthcoming) that does not impose Weak Certainty Independence.
Preliminary: comments welcome! Also, check back for the latest version.
Dynamic Choice under Ambiguity; June 2009.
Abstract.
This paper analyzes dynamic choice for ambiguity-sensitive decision makers. It demonstrates that unambiguous behavioral predictions can be obtained, even in the face of dynamic inconsistency, by taking the individual's preferences over decision trees, rather than acts, as primitive. In particular, it leverages preferences over trees to formalize Sophistication as an assumption about the way individuals resolve conflicts between preferences at different decision points. The main result employs Sophistication to provide a behavioral characterization of Consistent Planning (Strotz, 1956). The analysis accommodates arbitrary decision models and updating rules, and delivers unambiguous welfare comparisons.
As an example, a characterization of prior-by-prior Bayesian updating and Consistent Planning for arbitrary maxmin-expected utility preferences is presented. The resulting sophisticated MEU preferences are then used to analyze the value of information under ambiguity; a basic trade-off between information acquisition and commitment is highlighted.
Additional material: December 2006 version. Contains a more general version of certain results.
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.