Incomplete Information Games with Ambiguity Averse Players
Peter Klibanoff and
Sujoy Mukerji ()
Additional contact information
Eran Hanany: Faculty of Engineering, Tel Aviv University
Peter Klibanoff: Department of Managerial Economics and Decision Sciences, Kellogg School of Management, North-western University
No 868, Working Papers from Queen Mary University of London, School of Economics and Finance
We study incomplete information games with ambiguity averse players. Our focus is on equilibrium concepts satisfying sequential optimality each player's strategy is optimal at each information set given opponents' strategies. We show sequential optimality, which does not make any explicit assumption on updating, is equivalent to sequential optimality with respect to beliefs updated using a particular generalization of Bayesian updating. Ambiguity aversion expands the set of equilibria compatible with players sharing common ambiguous beliefs. We connect ambiguity aversion with belief robustness. Examples illustrate new strategic behaviour, including strategic use of ambiguity, under ambiguity aversion.
Keywords: Ambiguity aversion; dynamic games; incomplete information; multi-stage games; sequential optimality; sequential equilibrium with ambiguity; ambiguous strategies; smooth ambiguity model (search for similar items in EconPapers)
JEL-codes: C72 D81 D82 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-gth, nep-mic and nep-upt
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Journal Article: Incomplete Information Games with Ambiguity Averse Players (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:868
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