ON GAMES UNDER EXPECTED UTILITY WITH RANK DEPENDENT PROBABILITIES

Expected utility with rank dependent probabilities is a generalization of expected utility. If such preference representations are used for the payoffs in the mixed extension of a finite game, Nash equilibrium may fail to exist. Set-valued solutions, however, do exist even for th ose more general utility functions. But some set-valued solutions may have certain conceptual shortcomings. The paper thus proposes a new se t-valued solution concept, called fixed sets under the best reply corr espondence. All set-valued solution concepts are robust to perturbatio ns of the expected utility hypothesis.