Mathematical Modeling for Risk Averse Firm Facing Loss Averse Customer’s Stochastic Uncertainty

Auction choice for ambiguity-averse sellers facing strategic uncertainty

The robustness of the Bayes–Nash equilibrium prediction for seller revenue in auctions is investigated. In a framework of interdependent valuations generated from independent signals, seller expected revenue may fall well below the equilibrium prediction, even though the individual payoff consequences of suboptimal bidding may be small for each individual bidder. This possibility would be relev...

Auction choice for ambiguity-averse sellers facing strategic uncertainty: Comment

This note demonstrates epsilon equilibria in the first-price auction that achieve lower worst-case expected revenues than the lower bound proposed by Turocy (“Auction Choice for Ambiguity-Averse Sellers Facing Strategic Uncertainty,” Games and Economic Behavior 62, pp. 155–179, 2008). Additionally, it stresses the importance of a careful specification of the action space to properly characteriz...

Risk-averse stochastic path detection

Multilevel Optimization Modeling for Risk-Averse Stochastic Programming

Coherent risk measures have become a popular tool for incorporating risk aversion into stochastic optimization models. For dynamic models in which uncertainty is resolved at more than one stage, however, using coherent risk measures within a standard single-level optimization framework becomes problematic. To avoid severe time-consistency difficulties, the current state of the art is to employ ...

Mechanisms for Risk Averse Agents, Without Loss

Auctions in which agents’ payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in response to limitations on deterministic mechanisms imposed by computational complexity. For many of these mechanisms, which are often referred to as truthful-in-ex...