scholarly journals Generalized Expected Utility Analysis of Risk Aversion with State-Dependent Preferences

1987 ◽  
Vol 28 (1) ◽  
pp. 229 ◽  
Author(s):  
Edi Karni
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
Utility Analysis ◽  
Generalized Expected Utility ◽  
State Dependent

scholarly journals μ–σ Games

Games ◽  
2021 ◽  
Vol 12 (1) ◽  
pp. 5
Author(s):  
Uwe Dulleck ◽  
Andreas Löffler
Keyword(s):  
Game Theory ◽  
Risk Aversion ◽  
Expected Utility ◽  
Utility Functions ◽  
Response Strategy ◽  
Extensive Literature ◽  
Generalized Expected Utility ◽  
Best Response ◽  
Mixed Equilibria

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.

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