OPTIMISM AND PESSIMISM IN GAMES

• 成果类型: Article
• 署名作者: Eichberger, Juergen; Kelsey, David
• 署名单位: Ruprecht Karls University Heidelberg; University of Exeter
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12058
• 发表日期: 2014
• 页码: 483-505
• 关键词: probability weighting function; Uncertainty aversion; expected utility; Knightian uncertainty; nonadditive measures; Nash equilibrium; bayesian players; centipede game; savage axioms; normal-form

摘要

This article considers the impact of ambiguity in strategic situations. It extends the existing literature on games with ambiguity-averse players by allowing for optimistic responses to ambiguity. We use the CEU model of ambiguity with a class of capacities introduced by Jaffrray and Philippe (Mathematics of Operations Research 22 (1997), 165-85), which allows us to distinguish ambiguity from ambiguity-attitude, and propose a new solution concept, equilibrium under ambiguity (EUA), for players who may be characterized by ambiguity-preference. Applying EUA, we study comparative statics of changes in ambiguity-attitude in games with strategic complements. This extends work in Eichberger and Kelsey (Journal of Economic Theory 106 (2002), 436-66) on the effects of increasing ambiguity if players are ambiguity averse.