Bidding in Multi-Unit Auctions under Limited Information

Bernhard Kasberger and Kyle Woodward

MPRA Paper from University Library of Munich, Germany

Abstract: We study multi-unit auctions in which bidders have limited knowledge of opponent strategies and values. We characterize optimal prior-free bids; these bids minimize the maximal loss in expected utility resulting from uncertainty surrounding opponent behavior. Optimal bids are simply computable despite bidders having multi-dimensional private information, and in certain cases admit closed-form solutions. In the pay-as-bid auction the minimax-loss bid is unique; in the uniform-price auction the minimax-loss bid is unique if the bidder is allowed to determine the quantities for which they bid, as in many practical applications. Payments to the seller may be higher in either auction format, but minimax-loss bids are never uniformly higher in the pay-as-bid auction.

Keywords: Auctions; multi-unit auctions; loss minimization; non-Bayesian approaches (search for similar items in EconPapers)
JEL-codes: D44 D81 (search for similar items in EconPapers)
Date: 2021-12-20
New Economics Papers: this item is included in nep-des, nep-gth, nep-mic, nep-ore, nep-reg and nep-upt
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https://mpra.ub.uni-muenchen.de/111185/1/MPRA_paper_111185.pdf original version (application/pdf)

Related works:
Working Paper: Bidding in Multi-Unit Auctions under Limited Information (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111185

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