Optimal Auction Design with Risk Aversion and Correlated Information

F.H. Page Jr.

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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

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  • Cite this

    Page Jr., F. H. (1994). Optimal Auction Design with Risk Aversion and Correlated Information. (CentER Discussion Paper; Vol. 1994-109). CentER.