Optimal Auctions: Non-expected Utility and Constant Risk Aversion

• 成果类型: Article
• 署名作者: Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; Zhang, Mengxi
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Surrey; University of Bonn; Yale University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab096
• 发表日期: 2022
• 页码: 2630-2662
• 关键词: sealed bid auctions; expected-utility; dynamic consistency; mechanism design; equity premium; dual theory; disappointment; CHOICE; probability; preferences

摘要

We study auction design for bidders equipped with non-expected utility preferences that exhibit constant risk aversion (CRA). The CRA class is large and includes loss-averse, disappointment-averse, mean-dispersion, and Yaari's dual preferences as well as coherent and convex risk measures. Any preference in this class displays first-order risk aversion, contrasting the standard expected utility case which displays second-order risk aversion. The optimal mechanism offers full-insurance in the sense that each agent's utility is independent of other agents' reports. The seller excludes less types than under risk neutrality and awards the object randomly to intermediate types. Subjecting intermediate types to a risky allocation while compensating them when losing allows the seller to collect larger payments from higher types. Relatively high types are willing to pay more, and their allocation is efficient.