• Corpus ID: 12638540

Optimal Auctions with Ambiguity

@inproceedings{Bose2004OptimalAW,
  title={Optimal Auctions with Ambiguity},
  author={Subir Bose and Emre Ozdenoren and Andreas Duus Pape},
  year={2004}
}
A crucial assumption in the optimal auction literature has been that each bidder's valuation is known to be drawn from a single unique distribution. In this paper we relax this assumption and study the optimal auction problem when there is ambiguity about the distribution from which these valuations are drawn and where the seller or the bidder may display ambiguity aversion. We model ambiguity aversion using the maxmin expected utility model where an agent evaluates an action on the basis of… 

Auction Design with Ambiguity: Optimality of the First-Price and All-Pay Auctions

We study the optimal auction design problem when bidders' preferences follow the maxmin expected utility model. We suppose that the bidders' set of priors consists of beliefs "close" to the seller's

Regret Minimization and Separation in Multi-Bidder Multi-Item Auctions

TLDR
This work defines the auction design problem as a zero-sum game between the seller, who chooses a mechanism, and a fictitious adversary or 'nature,' who chooses the bidders' values from within the uncertainty set with the aim to maximize the seller's regret.

Correlation-Robust Optimal Auctions

I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder’s valuation, but does not know the correlation structure

Robust Behavior in Auctions

TLDR
This thesis consists of three chapters which analyze mechanisms and strategies in auctions which are robust with respect to uncertainty about the given economic setting and a new decision criterion is proposed which allows the agent to derive strategies given strategic uncertainty.

Essays on auctions, mechanism design, and repeated games

Chapter 1 revisits the classic mechanism design question of when buyers with private information in an auction setting can expect to receive economic rents. It is well known that under standard

First-Price Auctions with Maxmin Expected Utility Bidders ∗

This paper studies the first price auction with independent private valuations, wherein each bidder faces ambiguity about the probability distribution from which the other bidders’ valuations for the

Sequential Auctions with Ambiguity

Abstract This paper studies sequential auctions in the presence of ambiguity about the distribution of values. Using the multi-self approach to accommodate the possible time inconsistency that arises

A ug 2 02 0 An Optimal Distributionally Robust Auction ∗

An indivisible object may be sold to one of n agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations’

Optimal Auctions: Non-Expected Utility and Constant Risk Aversion

We study auction design for bidders equipped with non-expected utility preferences that exhibit constant risk aversion (CRA). The CRA class is large and includes loss-averse, disappointment-averse,
...

References

SHOWING 1-10 OF 47 REFERENCES

Optimal Auctions with Risk Averse Buyers

THIS PAPER STUDIES AUCTIONS designed to maximize the expected revenue of a seller facing risk averse bidders with unknown preferences.2 Although we concentrate on auctions where a seller sells a

Ascending bid auctions with behaviorally consistent bidders

Decision makers whose preferences do not satisfy the independence axiom of expected utility theory, when faced with sequential decisions will act in a dynamically inconsistent manner. In order to

Sealed bid auctions with uncertainty averse bidders

Summary. Traditional analysis of auctions assumes that each bidder's beliefs about opponents' valuations are represented by a probability measure. Motivated by experimental findings such as the

The Amsterdam auction

Auctions used to sell houses often attract a diverse group of bidders, with realtors and speculators out for a bargain competing against buyers with a real interest in the house. Value asymmetries

FULL EXTRACTION OF THE SURPLUS IN BAYESIAN AND DOMINANT STRATEGY AUCTIONS

The authors consider auctions for a single indivisible object when bidders have information about each other that is unavailable to the seller. They show that the seller can use this information to

Ambiguity aversion in first-price sealed-bid auctions

Experiments on first-price sealed-bid auctions with independent private values have shown that submitted bids typically exceed Nash-equilibrium predictions for risk-neutral bidders. Existing bidding

Ambiguity aversion and incompleteness of contractual form

Subjective uncertainty is characterized by ambiguity if the decision maker has an imprecise knowledge of the probabilities of payoff relevant events. In such an instance, the decision maker's beliefs

On the equivalence between descending bid auctions and first price sealed bid auctions

Bidding the same price in descending bid auctions and in first price sealed bid auctions is equivalent to expected utility maximizing behavior, and this is equivalent to dynamically consistent