Perceived Ambiguity, Ambiguity Attitude and Strategic Ambiguity in Games
Date: 7 January 2019
University of Exeter
PhD in Economics
This thesis contributes to the theoretical work on decision and game theory when decision makers or players perceive ambiguity. The first article introduces a new axiomatic framework for ambiguity aversion and provides axiomatic characterizations for important preference classes that thus far had lacked characterizations. The second ...
This thesis contributes to the theoretical work on decision and game theory when decision makers or players perceive ambiguity. The first article introduces a new axiomatic framework for ambiguity aversion and provides axiomatic characterizations for important preference classes that thus far had lacked characterizations. The second article introduces a new axiom called Weak Monotonicity which is shown to play a crucial role in the multiple prior model. It is shown that for many important preference classes, the assumption of monotonic preferences is a consequence of the other axioms and does not have to be assumed. The third article introduces an intuitive definition of perceived ambiguity in the multiple prior model. It is shown that the approach allows an application to games where players perceive strategic ambiguity. A very general equilibrium existence result is given. The modelling capabilities of the approach are highlighted through the analysis of examples. The fourth article applies the model from the previous article to a specific class of games with a lattice-structure. We perform comparative statics on perceived ambiguity and ambiguity attitude. We show that more optimism does not necessarily lead to higher equilibria when players have Alpha-Maxmin preferences. We present necessary and sufficient conditions on the structure of the prior sets for this comparative statics result to hold. The introductory chapter provides the basis of the four articles in this thesis. An overview of axiomatic decision theory, decision-making under ambiguity and ambiguous games is given. It introduces and discusses the most relevant results from the literature.
Item views 0
Full item downloads 0
Showing items related by title, author, creator and subject.
le Roux, S; Kelsey, D (2015)We report the results from a set of experiments conducted to test the e§ect of ambiguity on individual behaviour in games of strategic complements and strategic substitutes. We test whether subjectsíperception of ambiguity ...
Antoniou, Constantinos; Harris, Richard D. F.; Zhang, Ruogu (Elsevier, 14 April 2015)Stock market participation is very low, with approximately two thirds of all U.S. households not owning any public equity. This is a puzzle in the context of the basic Expected Utility model. One explanation put forward ...
Zhang, Ruo Gu (University of Exeter Business School, 28 April 2015)Theoretical models predict that ambiguity is an asset pricing factor in addition to risk, however few of them have been tested in the real market. This thesis tests one of the hypotheses that, investors’ propensity to ...