Optimal pricing by a risk-averse seller
Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem
We consider the basic setup of one seller, one buyer, and one good, where the seller is risk averse, and characterize the mechanism that maximizes the seller's expected utility. In contrast to the risk-neutral case, where a single deterministic price is optimal, we show that in the risk averse case the optimal mechanism consists of a continuum of lotteries.
Pages: 30 pages
New Economics Papers: this item is included in nep-des, nep-mic and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:huj:dispap:dp725
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