How to make ambiguous strategies

Taking advantage of ambiguity in strategic situations is well documented in the literature. However, so far there are only few results on how to make ambiguous strategies. In this paper we introduce a procedure which makes objective ambiguity, concretely it draws an element from a set of priors, defined by a belief function, in a way that it does not lead to any probability distribution over the priors. Moreover, we define the notion of ambiguous strategy, and by means of examples we show how to make ambiguous strategies in games.