منابع مشابه
Large common value auctions with risk averse bidders
We show that in large symmetric auctions with conditionally i.i.d. common values and CARA preferences, the second-price auction raises more revenue than the rst-price auction. We also show by an example that the ranking does not extend to general symmetric risk-averse preferences.
متن کاملOptimal Consumption and Sale Strategies for a Risk Averse Agent
In this article we consider an optimal consumption/optimal portfolio problem in which an agent with constant relative risk aversion seeks to maximize expected discounted utility of consumption over the infinite horizon, in a model comprising a risk-free asset and a risky asset in which the risky asset can only be sold and not bought. The problem is an extension of the Merton problem and a speci...
متن کاملAll-pay auctions with risk-averse players
Westudy independent private-value all-pay auctionswith risk-averse players. We show that: (1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. (2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. (3) Players’ expected utilities in an all-pay auction are l...
متن کاملLarge auctions with risk-averse bidders
We study private-value auctions with n risk-averse bidders, where n is large. We first use asymptotic analysis techniques to calculate explicit approximations of the equilibriumbids and of the seller’s revenue in any k-price auction (k = 1, 2, . . .). These explicit approximations show that in all large k-price auctions the effect of risk-aversion is O(1/n2) small. Hence, all large k-price auct...
متن کاملDistributionally Robust Games with Risk-averse Players
We present a new model of incomplete information games without private information in which the players use a distributionally robust optimization approach to cope with the payoff uncertainty. With some specific restrictions, we show that our “Distributionally Robust Game” constitutes a true generalization of three popular finite games. These are the Complete Information Games, Bayesian Games a...
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ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2010
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2009.06.009