Robust mechanisms for risk-averse sellers

Mukund Sundararajan and Qiqi Yan

Games and Economic Behavior, 2020, vol. 124, issue C, 644-658

Abstract: Most literature on optimal auctions focuses on optimizing for a risk-neutral seller. We consider risk-averse sellers in a setting of multi-unit auctions with unit-demand bidders. We seek utility-oblivious mechanisms that do not know about the seller's utility function, while still achieving constant factor approximations to the expected utility of the optimal mechanism tailored to the utility function. Our main results are natural hedging-based mechanisms that give such utility-oblivious approximations. Along the way we show that the optimal auction theory of Myerson (1981) extends to risk-averse sellers in the single-unit case, but not in the multi-unit case.

Keywords: Risk-aversion; Utility; Optimal auctions; Revenue maximization (search for similar items in EconPapers)
JEL-codes: D81 D82 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:124:y:2020:i:c:p:644-658

DOI: 10.1016/j.geb.2015.01.005

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