\(\mu\)-\(\sigma\) games
type: Item
instance of: scholarly article
title: \(\mu\)-\(\sigma\) games
zbMATH Open document ID: 1478.91033
author: Uwe Dulleck
author: Löffler, Andras
published in: Games
publication date: 2021-11-26T00:00:00Z
review text: Summary: 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 \(\mu\)-\(\sigma\) theory to the analysis of (static) games. \(\mu\)-\(\sigma\) 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 \(\mu\)-\(\sigma\) utility functions and determine the best response strategy. In the case of \(2 \times 2\) and \(\mathrm{N} \times \mathrm{M}\) games, we are able to characterize all mixed equilibria.
Mathematics Subject Classification ID: 91A30
zbMATH DE Number: 7434004
zbMATH Keywords: \(\mu\)-\(\sigma\) utility
zbMATH Keywords: game theory
zbMATH Keywords: mixed strategies
zbMATH Keywords: equilibrium
MaRDI profile type: Publication
full work available at URL: g12010005
OpenAlex ID: W3121268676
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DOI: 10.3390/G12010005
description: scientific article; zbMATH DE number 7434004