Mixed Strategies in Games with Ambiguity Averse Agents

In normal form games, when agents exhibit ambiguity aversion the exclusion of mixed strategies from agents' choice sets can enlarge the set of equilibria. While it is possible, in a game theoretic experiment, to enforce pure strategy reporting it is not possible to prevent subjects from mixing before reporting a pure strategy. This short paper establishes conditions under which the set of equilibrium in a game with ambiguity averse agents and pure strategy reporting is invariant to the existence of pre-play mixing devices. This result is crucial for the interpretation of recent experimental work on the role of ambiguity aversion in normal form games.