On ambiguity-averse market equilibrium

Abstract We develop a Nash equilibrium problem representing perfectly competitive market wherein all players are subject to the same source of uncertainty with an unknown probability distribution. Each player—depending on her individual access and confidence over empirical data—builds ambiguity set containing family potential distributions describing uncertain event. The different is not necessarily identical, yielding potentially heterogeneous aversion. Built upon recent developments in field Wasserstein distributionally robust chance-constrained optimization, each ambiguity-averse player maximizes own expected payoff under worst-case distribution within set. Using affine policy conditional value-at-risk approximation chance constraints, we define tractable game. prove that certain conditions unique point exists, which coincides solution single optimization problem. Numerical results indicate comparatively lower consumption utility highly exposed rival