著者

Ui Takashi

出版者

Academic Press Inc

雑誌

Games and Economic Behavior (ISSN:08998256)

巻号頁・発行日

vol.31, no.1, pp.121-135, 2000-04

被引用文献数

81

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In potential games, as considered by Monderer and Shapley (1996a, Games Econom. Behav. 14, 124-143), each player's gain from a deviation is equal to the gain in a potential function. We prove that a game has a potential function if and only if its payoff functions coincide with the Shapley value of a particular class of cooperative games indexed by the set of strategy profiles. Also a potential function of a noncooperative potential game coincides with the potentials (cf. Hart and Mas-Colell, 1989, Econometrica 57, 589-614) of cooperative games indexed by the strategy set. Journal of Economic Literature Classification Numbers: C71, C72. (C) 2000 Academic Press (C) 2000 Academic Press.

著者

Kajii Atsushi Ui Takashi

出版者

Blackwell Publishing

雑誌

Japanese Economic Review (ISSN:13524739)

巻号頁・発行日

vol.56, no.3, pp.332-351, 2005-09

被引用文献数

54

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We present a model of incomplete information games, where each player is endowed with a set of priors. Upon arrival of private information, it is assumed that each player "updates" his set of priors to a set of posterior beliefs, and then evaluates his actions by the most pessimistic posterior beliefs. So each player's preferences may exhibit aversion to ambiguity or uncertainty. We define a couple of equilibrium concepts, establish existence results for them, and demonstrate by examples how players' views on uncertainty about the environment affect the strategic outcomes.

著者

Ui Takashi

出版者

Oxford University Press

雑誌

Review of finance : journal of the European Finance Association (ISSN:15723097)

巻号頁・発行日

vol.15, no.2, pp.245-275, 2011

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This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors' ambiguity increases sufficiently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have opposite signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market.

著者

Ui Takashi

出版者

Blackwell Publishing Ltd

雑誌

Econometrica (ISSN:00129682)

巻号頁・発行日

vol.69, no.5, pp.1373-1380, 2001-09

被引用文献数

66

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Potential games are games with potential functions. Technically, the potential function defines a refinement concept. We provide justification for this refinement concept using the notion of robustness of equilibria. A Nash equilibrium of a complete information game is said to be robust if every incomplete information game where payoffs are almost always given by the complete information game has an equilibrium which generates behavior close to the Nash equilibrium. We show that Nash equilibria that maximize potential functions are generically robust.