An optimal auction with correlated values and risk aversion

• 成果类型: Article
• 署名作者: Esö, P
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.06.005
• 发表日期: 2005
• 页码: 78-89
• 关键词: optimal auctions; correlated values; risk aversion

摘要

We consider an auction setting where the buyers are risk averse with correlated private valuations (CARA preferences, binary types), and characterize the optimal mechanism for a risk-neutral seller. We show that the optimal auction extracts all buyer surplus whenever the correlation is sufficiently strong (greater than 1/3 in absolute value), no matter how risk averse the buyers are. In contrast, we note that a sufficiently risk-averse seller would not use a full rent extracting mechanism for any positive correlation of the valuations even if the buyers were risk neutral. (c) 2004 Elsevier Inc. All rights reserved.