Optimal Auction Design with Risk Aversion and Correlated Information

F.H. Page Jr.

    Research output: Working paperDiscussion paperOther research output

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    Abstract

    In this paper, we develop a general auction model in which buyers and seller are risk averse and private information is multidimensional and correlated, and in this setting we examine the problem of optimal auction design. In particular, we consider the problem faced by someone who has an object to sell but who does not know how much prospective buyers might be willing to pay, and allowing for risk aversion and correlated information on the part of buyers, we demonstrate the existence of an auction procedure that yields the risk averse seller the highest expected utility among all the auction procedures that are rational and Bayesian incentive compatible.
    Original languageEnglish
    PublisherCentER
    Volume1994-109
    Publication statusPublished - 1994

    Publication series

    NameCentER Discussion Paper
    Volume1994-109

    Fingerprint

    Optimal auction
    Correlated information
    Auction design
    Auctions
    Risk aversion
    Buyers
    Risk-averse
    Seller
    Incentive compatible
    Expected utility
    Private information

    Cite this

    Page Jr., F. H. (1994). Optimal Auction Design with Risk Aversion and Correlated Information. (CentER Discussion Paper; Vol. 1994-109). CentER.
    Page Jr., F.H. / Optimal Auction Design with Risk Aversion and Correlated Information. CentER, 1994. (CentER Discussion Paper).
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    title = "Optimal Auction Design with Risk Aversion and Correlated Information",
    abstract = "In this paper, we develop a general auction model in which buyers and seller are risk averse and private information is multidimensional and correlated, and in this setting we examine the problem of optimal auction design. In particular, we consider the problem faced by someone who has an object to sell but who does not know how much prospective buyers might be willing to pay, and allowing for risk aversion and correlated information on the part of buyers, we demonstrate the existence of an auction procedure that yields the risk averse seller the highest expected utility among all the auction procedures that are rational and Bayesian incentive compatible.",
    author = "{Page Jr.}, F.H.",
    year = "1994",
    language = "English",
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    Page Jr., FH 1994 'Optimal Auction Design with Risk Aversion and Correlated Information' CentER Discussion Paper, vol. 1994-109, CentER.

    Optimal Auction Design with Risk Aversion and Correlated Information. / Page Jr., F.H.

    CentER, 1994. (CentER Discussion Paper; Vol. 1994-109).

    Research output: Working paperDiscussion paperOther research output

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    AB - In this paper, we develop a general auction model in which buyers and seller are risk averse and private information is multidimensional and correlated, and in this setting we examine the problem of optimal auction design. In particular, we consider the problem faced by someone who has an object to sell but who does not know how much prospective buyers might be willing to pay, and allowing for risk aversion and correlated information on the part of buyers, we demonstrate the existence of an auction procedure that yields the risk averse seller the highest expected utility among all the auction procedures that are rational and Bayesian incentive compatible.

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    Page Jr. FH. Optimal Auction Design with Risk Aversion and Correlated Information. CentER. 1994. (CentER Discussion Paper).