A dynamic mechanism and surplus extraction under ambiguity

• 成果类型: Article
• 署名作者: Bose, Subir; Daripa, Arup
• 署名单位: University of London; Birkbeck University London; University of Leicester
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.02.003
• 发表日期: 2009
• 页码: 2084-2114
• 关键词: Ambiguity aversion; epsilon contamination; Modified Dutch auction; Dynamic mechanism; Surplus extraction; revelation principle

摘要

We study the question of auction design in an IPV setting characterized by ambiguity. We assume that the preferences of agents exhibit ambiguity aversion; in particular, they are represented by the epsilon-contamination model. We show that a simple variation of a discrete Dutch auction can extract almost all surplus. This contrasts with optimal auctions under IPV without ambiguity as well as with optimal static auctions with ambiguity-in all of these, types other than the lowest participating type obtain a positive surplus. An important point of departure is that the modified Dutch mechanism is dynamic rather than static, establishing that under ambiguity aversion-even when the setting is IPV in all other respects-a dynamic mechanism can have additional bite over its static counterparts. A further general insight is that the standard revelation principle does not automatically extend to environments not characterized by subjective expected utility. (C) 2009 Elsevier Inc. All rights reserved.