Lk. Cheng et M. Zhu, MIXED-STRATEGY NASH EQUILIBRIUM BASED UPON EXPECTED UTILITY AND QUADRATIC UTILITY, Games and economic behavior, 9(2), 1995, pp. 139-150
The notion of a mixed-strategy Nash equilibrium suffers from three inh
erent difficulties. First, given the equilibrium strategies of other p
layers, there are many best replies. Second, the equilibrium is unstab
le. Third, comparative statics results are counterintuitive. We demons
trate that these difficulties an have their origin in von Neumann and
Morgenstern's expected utility. In contrast, players with ''quadratic
utility'' have unique best replies and the Nash equilibrium appears to
yield intuitive comparative statics results. Journal of Economic Lite
rature Classification Number: C72. (C) 1995 Academic Press, Inc.