Robust mechanisms for risk-averse sellers

• 成果类型: Article
• 署名作者: Sundararajan, Mukund; Yan, Qiqi
• 署名单位: Alphabet Inc.; Google Incorporated
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2015.01.005
• 发表日期: 2020
• 页码: 644-658
• 关键词: risk-aversion; utility; Optimal auctions; revenue maximization

摘要

Most literature on optimal auctions focuses on optimizing for a risk-neutral seller. We consider risk-averse sellers in a setting of multi-unit auctions with unit-demand bidders. We seek utility-oblivious mechanisms that do not know about the seller's utility function, while still achieving constant factor approximations to the expected utility of the optimal mechanism tailored to the utility function. Our main results are natural hedging-based mechanisms that give such utility-oblivious approximations. Along the way we show that the optimal auction theory of Myerson (1981) extends to risk-averse sellers in the single unit case, but not in the multi-unit case. (c) 2015 Elsevier Inc. All rights reserved.