Pricing under asymmetry and ambiguity

Arbeitspapier

Robust pricing models often suffer from being overly conservative. This is due to lack of asymmetry information within the set of possible valuation distributions. However, even when information on asymmetry is available incorporating it within pricing models makes the characterization of pricing policies very difficult. Our main results address this challenge by providing an explicit characterization of the worst-case prior under the extended information setting that includes semivariance as a measure of asymmetry on top of mean and variance. We illustrate the gain from having the asymmetry information captured via semivariance.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: QMS Working Paper ; No. 2023/03

Classification and Topics

• Classification: Wirtschaft
• Subject: Pricing ; Ambiguity ; Distributionally Robust Mechanism ; Asymmetry

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dokka, Trivikram ; SenGupta, Sonali
• Event: Veröffentlichung
• (who): Queen's University Belfast, Queen's Management School
• (where): Belfast
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/273706