Adversarial Risk Analysis for Auctions Using Mirror Equilibrium and Bayes Nash Equilibrium

Muhammad Ejaz (), Stephen Joe () and Chaitanya Joshi ()
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Muhammad Ejaz: Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand
Stephen Joe: Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand
Chaitanya Joshi: Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand

Decision Analysis, 2021, vol. 18, issue 3, 185-202

Abstract: In this paper, we use the adversarial risk analysis (ARA) methodology to model first-price sealed-bid auctions under quite realistic assumptions. We extend prior work to find ARA solutions for mirror equilibrium and Bayes Nash equilibrium solution concepts, not only for risk-neutral but also for risk-averse and risk-seeking bidders. We also consider bidders having different wealth and assume that the auctioned item has a reserve price.

Keywords: adversarial risk analysis; game theory; decision theory; first-price sealed-bid auctions (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ordeca:v:18:y:2021:i:3:p:185-202

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