Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257488 
Year of Publication: 
2021
Citation: 
[Journal:] Games [ISSN:] 2073-4336 [Volume:] 12 [Issue:] 1 [Article No.:] 5 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
Risk aversion in game theory is usually modeled using expected utility, which was criticized early on, leading to an extensive literature on generalized expected utility. In this paper we are the 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 2 × 2 and N × M games, we are able to characterize all mixed equilibria.
Subjects: 
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utility
equilibrium
game theory
mixed strategies
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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