Risk aversion in game theory is usually modelled using expected utility, which has been critized early on leading to an extensive literature on generalized expected utility. In this paper we are first to apply μ-σ theory to the analysis of (static) games. μ-σ theory is widely accepted in the finance literature, using it allows us to study the effect on uncertainty endogenous to the game, i.e. mixed equilibria. In particular, we look at the case of linear μ-σ utility functions and determine the best response strategy. In the case of 2x2- and NxM-games we are able to characterize all mixed equilibria.
|Date of creation:||13 Jan 2012|
|Date of revision:|
|Contact details of provider:|| Phone: 07 3138 5066|
Fax: 07 3138 1500
Web page: http://www.ncer.edu.au
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lajeri, Fatma & Nielsen, Lars Tyge, 1997.
"Parametric Characterizations of Risk Aversion and Prudence,"
CEPR Discussion Papers
1650, C.E.P.R. Discussion Papers.
- Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer, vol. 15(2), pages 469-476.
- Ho-Chyuan Chen & William Neilson, 1999. "Pure-strategy Equilibria with Non-expected Utility Players," Theory and Decision, Springer, vol. 46(2), pages 201-212, April.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Fatma Lajeri-Chaherli, 2002. "More on Properness: The Case of Mean-Variance Preferences," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 27(1), pages 49-60, June.
- Geanakoplos, John & Pearce, David & Stacchetti, Ennio, 1989. "Psychological games and sequential rationality," Games and Economic Behavior, Elsevier, vol. 1(1), pages 60-79, March.
When requesting a correction, please mention this item's handle: RePEc:qut:auncer:2012_1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (School of Economics and Finance)The email address of this maintainer does not seem to be valid anymore. Please ask School of Economics and Finance to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.