Cooperative Stochastic Games with Mean-Variance Preferences

Elena Parilina () and Stepan Akimochkin
Additional contact information
Stepan Akimochkin: Australia and New Zealand Banking Group Limited, 242 Pitt Street, Sydney, NSW 2000, Australia

Mathematics, 2021, vol. 9, issue 3, 1-15

Abstract: In stochastic games, the player’s payoff is a stochastic variable. In most papers, expected payoff is considered as a payoff, which means the risk neutrality of the players. However, there may exist risk-sensitive players who would take into account “risk” measuring their stochastic payoffs. In the paper, we propose a model of stochastic games with mean-variance payoff functions, which is the sum of expectation and standard deviation multiplied by a coefficient characterizing a player’s attention to risk. We construct a cooperative version of a stochastic game with mean-variance preferences by defining characteristic function using a maxmin approach. The imputation in a cooperative stochastic game with mean-variance preferences is supposed to be a random vector. We construct the core of a cooperative stochastic game with mean-variance preferences. The paper extends existing models of discrete-time stochastic games and approaches to find cooperative solutions in these games.

Keywords: cooperative stochastic games; mean-variance preferences; stochastic payoff; risk-sensitive payoff; core (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/3/230/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/3/230/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:9:y:2021:i:3:p:230-:d:486417

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().