Incomplete Information Games with Ambiguity Averse Players

Hanany, Eran; Klibanoff, Peter; Mukerji, Sujoy

doi:10.1257/mic.20180302

Cited by 17 publications

(19 citation statements)

References 67 publications

(88 reference statements)

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“…In this paper, different information sets are reached by virtue of Nature's choice as opposed to that of other players, so a player's realized type reveals nothing about the strategy played by others. As is explicit in Hanany et al (2016) and implicit herein, players know (believe with probability 1) the strategy profile of others. Thus, each player need only update her beliefs about types of other players and the parameters of the game, not their opponents' strategies.…”

Section: Discussionmentioning

confidence: 99%

“…Consequentialism requires that only incentives and strategies within the realized information set matter for her choice. Hanany et al (2016) provide a framework compatible with appropriate versions of Assumptions 2, 3, 4 and the Smooth Ambiguity Model by relaxing Consequentialism. At the interim stage, Player i maximizes a preference that depends both on her information and the equilibrium strategy profile.…”

Section: Discussionmentioning

confidence: 99%

“…Hanany and Klibanoff (2007). Hanany et al (2016) develop an equilibrium concept based on this idea for games when players have smooth ambiguity preferences (Klibanoff et al, 2005), for which there is no issue with ex ante versus ex post for choice, equilibrium, or welfare. In the games considered by the present paper, their solution concept reduces to solving the (ex ante) normal form.…”

Section: Objectivesmentioning

confidence: 99%

See 2 more Smart Citations

On dynamic consistency in ambiguous games

Ellis

2018

Games and Economic Behavior

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I consider static, incomplete information games where players may not be ambiguity neutral. Every player is one of a finite set of types, and each knows her own type but not that of the other players. Ex ante, players differ only in their taste for outcomes. If every player is dynamically consistent with respect to her own information structure and respects Consequentialism, then players act as if expected utility for uncertainty about types.

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Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

Section: Objectivesmentioning

confidence: 99%

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On dynamic consistency in ambiguous games

Ellis

2018

Games and Economic Behavior

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“…Once the value is known, then the other's bid is not relevant. We then have: 11 Proposition 1. For private value auctions: (i) In the …rst-price auction, the equilib-rium distribution of bids when a > 1 …rst order stochastically dominates that of the case in which a = 1; with the seller's revenues increasing in a: (ii) In the second-price auction, the equilibrium distribution of bids when a > 1 is the same as that of the case in which a = 1:…”

Section: Private-valuesmentioning

confidence: 97%

Private and common value auctions with ambiguity over correlation

Laohakunakorn

Levy

Razin

2019

Journal of Economic Theory

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We analyse auctions when individuals have ambiguity over the joint information structures generating the valuations and signals of players. We analyze how two standard auction e¤ects interact with the ambiguity of bidders over correlation structures. First, a "competition e¤ect" arises when di¤erent beliefs about the correlation between bidders' valuations imply di¤erent likelihoods of facing competitive bids. Second, a "winner's value e¤ect" arises when di¤erent beliefs imply di¤erent inferences about the winner's value. In the private values case, only the …rst e¤ect exists and this implies that the distribution of bids …rst order stochastically dominates the distribution of bids in the absence of ambiguity. In common value auctions both e¤ects exist and we show that compared to the canonical model, both in the …rst-price and second-price auctions, these e¤ects combine to imply that the seller's revenue decreases with ambiguity (in contrast with the private values case). We then characterise the optimal auction in both the private and common value cases. A novel feature that arises in the optimal mechanism in the common values case is that the seller only partially insures the high type against ambiguity.

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“…While we refer to ! as the state and as the draw from an urn, an equivalent approach (seeHanany, Klibano¤ and Mukerji (2016)) would be to de…ne the state as (! ; ) ; in which case the strategy of S would be given by a distribution over M for each state (!…”

mentioning

confidence: 99%

Endogenous ambiguity in cheap talk

Kellner

Quement

2018

Journal of Economic Theory

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This paper proposes a model of ambiguous language. We consider a simple cheap talk game in which a sender who faces an ambiguity averse receiver is able to perform ambiguous randomization, i.e. to randomize according to unknown probabilities. We show that for any standard influential communication equilibrium there exists an equilibrium featuring an ambiguous communication strategy which Pareto-dominates it in terms of consistent planning ex ante utilities. Ambiguity, by triggering worst-case decision-making by the receiver, shifts the latter's response to information towards the sender's ideal action, thus encouraging more information transmission

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Incomplete Information Games with Ambiguity Averse Players

Cited by 17 publications

References 67 publications

On dynamic consistency in ambiguous games

On dynamic consistency in ambiguous games

Private and common value auctions with ambiguity over correlation

Endogenous ambiguity in cheap talk

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