Publication Date: 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.
Monopoly, Optimal pricing, Regret, Multiple priors, Distribution free
JEL Classification Codes: C79, D82
See CFP: 1224