Asymmetric auctions with risk averse preferences

Sanyyam Khurana ()

No 304, Working papers from Centre for Development Economics, Delhi School of Economics

Abstract: In this paper, we characterize all the Bayesian equilibria of a firstprice auction for asymmetric bidders with risk averse preferences. The necessary conditions for an equilibrium are pure strategy, continuity and strict monotonicity. Next, we show that first-order stochastic dominance is a necessary condition and conditional stochastic dominance is a sufficient condition to unambiguously rank the bidding strategies. We establish bidders’ preferences for the first-price and the second-price auction under different types of risk aversion. Finally, for a special family of utility functions and distribution functions, we study the impact of asymmetry on seller’s revenue in a first-price auction.

JEL-codes: D44 D82 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2020-02
New Economics Papers: this item is included in nep-des, nep-gth, nep-mic, nep-ore and nep-upt
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