A parametric family of two ranked objects auctions: equilibria and associated risk

Estrella Alonso (), Joaquín Sánchez-Soriano and Juan Tejada ()

Annals of Operations Research, 2015, vol. 225, issue 1, 160 pages

Abstract: This paper deals with simultaneous auctions of two commonly ranked objects following the model studied in Menezes and Monteiro (J. Real Estate Finance Econ., 17(3):219–232, 1998 ). For these problems we introduce a parametric family of auction mechanisms which includes the three classic auctions (discriminatory-price auction, uniform-price auction and Vickrey auction) and we call it the $\mathcal{DUV}$ family. We provide the unique Bayesian Nash equilibrium for each auction in $\mathcal{DUV}$ and prove a revenue equivalence theorem for the parametric family. Likewise, we study the value at risk of the auctioneer as a reasonable decision criterion to determine which auctions in $\mathcal{DUV}$ may be better taking into account the interests of the auctioneer. We show that there are auction mechanisms in $\mathcal{DUV}$ which are better than the classic auction mechanisms with respect to this criterion. Copyright Springer Science+Business Media New York 2015

Keywords: Multi-object auctions; Bayesian Nash equilibrium; Expected revenue; Value at risk (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10479-012-1297-9

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