Azrieli, Yaron and Teper, Roee (2009): Uncertainty aversion and equilibrium existence in games with incomplete information.
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Abstract
We consider games with incomplete information a la Harsanyi, where the payoff of a player depends on an unknown state of nature as well as on the profile of chosen actions. As opposed to the standard model, players' preferences over statecontingent utility vectors are represented by arbitrary functionals. The definitions of Nash and Bayes equilibria naturally extend to this generalized setting. We characterize equilibrium existence in terms of the preferences of the participating players. It turns out that, given continuity and monotonicity of the preferences, equilibrium exists in every game if and only if all players are averse to uncertainty (i.e., all the functionals are quasiconcave). We further show that if the functionals are either homogeneous or translation invariant then equilibrium existence is equivalent to concavity of the functionals.
Item Type:  MPRA Paper 

Original Title:  Uncertainty aversion and equilibrium existence in games with incomplete information 
Language:  English 
Keywords:  Games with incomplete information, equilibrium existence, uncertainty aversion, convex preferences. 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty C  Mathematical and Quantitative Methods > C7  Game Theory and Bargaining Theory > C72  Noncooperative Games 
Item ID:  17617 
Depositing User:  Yaron Azrieli 
Date Deposited:  01 Oct 2009 18:21 
Last Modified:  29 Sep 2019 04:37 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/17617 
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