Pricing Without Priors

11 Pages Posted: 11 Sep 2007

See all articles by Dirk Bergemann

Dirk Bergemann

Yale University - Cowles Foundation - Department of Economics; Yale University - Cowles Foundation

Karl H. Schlag

University of Vienna - Department of Economics

Date Written: September 2007


We consider the problem of pricing a single object when the seller has only minimal information about the true valuation of the buyer. Specifically, the seller only knows the support of the possible valuations and has no further distributional information.

The seller is solving this choice problem under uncertainty by minimizing her regret. The pricing policy hedges against uncertainty by randomizing over a range of prices. The support of the pricing policy is bounded away from zero. Buyers with low valuations cannot generate substantial regret and are priced out of the market. We generalize the pricing policy without priors to encompass many buyers and many qualities.

Keywords: Monopoly, Optimal pricing, Regret, Multiple priors, Distribution free

JEL Classification: C79, D82

Suggested Citation

Bergemann, Dirk and Schlag, Karl H., Pricing Without Priors (September 2007). Cowles Foundation Discussion Paper No. 1625, Available at SSRN:

Dirk Bergemann (Contact Author)

Yale University - Cowles Foundation - Department of Economics ( email )

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Yale University - Cowles Foundation

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Karl H. Schlag

University of Vienna - Department of Economics ( email )

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Vienna, A-1090