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Each player\u2014depending on her individual access to and confidence over empirical data\u2014builds an ambiguity set containing a family of potential probability distributions describing the uncertain event. The ambiguity set of different players is not necessarily identical, yielding a market with potentially heterogeneous ambiguity aversion. Built upon recent developments in the field of Wasserstein distributionally robust chance-constrained optimization, each ambiguity-averse player maximizes her own expected payoff under the worst-case probability distribution within her ambiguity set. Using an affine policy and a conditional value-at-risk approximation of chance constraints, we define a tractable Nash game. We prove that under certain conditions a unique Nash equilibrium point exists, which coincides with the solution of a single optimization problem. Numerical results indicate that players with comparatively lower consumption utility are highly exposed to rival ambiguity aversion.<\/jats:p>","DOI":"10.1007\/s11590-022-01935-0","type":"journal-article","created":{"date-parts":[[2022,11,19]],"date-time":"2022-11-19T07:03:07Z","timestamp":1668841387000},"page":"1379-1412","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["On ambiguity-averse market equilibrium"],"prefix":"10.1007","volume":"17","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-2229-3209","authenticated-orcid":false,"given":"Niklas","family":"Vespermann","sequence":"first","affiliation":[]},{"given":"Thomas","family":"Hamacher","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5050-6611","authenticated-orcid":false,"given":"Jalal","family":"Kazempour","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2022,11,19]]},"reference":[{"issue":"4","key":"1935_CR1","doi-asserted-by":"publisher","first-page":"643","DOI":"10.2307\/1884324","volume":"75","author":"D Ellsberg","year":"1961","unstructured":"Ellsberg, D.: Risk, ambiguity, and the savage axioms. 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