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Large auctions with risk-averse bidders.
- Source :
-
International Journal of Game Theory . 2010, Vol. 39 Issue 3, p359-390. 32p. 2 Charts, 4 Graphs. - Publication Year :
- 2010
-
Abstract
- We study private-value auctions with n risk-averse bidders, where n is large. We first use asymptotic analysis techniques to calculate explicit approximations of the equilibrium bids and of the seller’s revenue in any k-price auction ( k = 1, 2, . . .). These explicit approximations show that in all large k-price auctions the effect of risk-aversion is O(1/ n2) small. Hence, all large k-price auctions with risk-averse bidders are O(1/ n2) revenue equivalent. The generalization, that all large auctions are O(1/ n2) revenue equivalent, is false. Indeed, we show that there exist auction mechanisms for which the limiting revenue as $${n\longrightarrow \infty }$$ with risk-averse bidders is strictly below the risk-neutral limit. Therefore, these auction mechanisms are not revenue equivalent to large k-price auctions even to leading-order as $${n\longrightarrow \infty }$$. [ABSTRACT FROM AUTHOR]
- Subjects :
- *AUCTIONS
*BIDDERS
*GAME theory
*MATHEMATICAL optimization
*DECISION theory
Subjects
Details
- Language :
- English
- ISSN :
- 00207276
- Volume :
- 39
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- International Journal of Game Theory
- Publication Type :
- Academic Journal
- Accession number :
- 50354956
- Full Text :
- https://doi.org/10.1007/s00182-009-0181-6