Related papers: On Risk Aversion in Auctions

We study the design of mechanisms -- e.g., auctions -- when the designer does not control information flows between mechanism participants. A mechanism equilibrium is leakage-proof if no player conditions their actions on leaked…

This paper studies the incentives of the seller and buyers to shill bid in a single-item auction. An auction is seller identity-compatible if the seller cannot profit from pretending to be one or more bidders via fake identities. It is…

A standard result from auction theory is that bidding truthfully in a second price auction is a weakly dominant strategy. The result, however, does not apply in the presence of Cost Per Action (CPA) constraints. Such constraints exist, for…

We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…

Search auctions have become a dominant source of revenue generation on the Internet. Such auctions have typically used per-click bidding and pricing. We propose the use of hybrid auctions where an advertiser can make a per-impression as…

A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…

Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…

We study two standard multi-unit auction formats for allocating multiple units of a single good to multi-demand bidders. The first one is the Discriminatory Auction, which charges every winner his winning bids. The second is the Uniform…

We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…

The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the…

In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…

First-price auctions have largely replaced traditional bidding approaches based on Vickrey auctions in programmatic advertising. As far as learning is concerned, first-price auctions are more challenging because the optimal bidding strategy…

This paper examines how risk and budget limits on investment mandates affect the bidding strategy in a uniform-price auction for issuing corporate bonds. I prove the existence of symmetric Bayesian Nash equilibrium and explore how the risk…

A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…

Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we…

First-price auctions have recently gained significant traction in digital advertising markets, exemplified by Google's transition from second-price to first-price auctions. Unlike in second-price auctions, where bidding one's private…

Combinatorial auctions where agents can bid on bundles of items are desirable because they allow the agents to express complementarity and substitutability between the items. However, expressing one's preferences can require bidding on all…

We consider an environment where sellers compete over buyers. All sellers are a-priori identical and strategically signal buyers about the product they sell. In a setting motivated by on-line advertising in display ad exchanges, where firms…

Risk aversion is a common behavior universal to humans and animals alike. Economists have traditionally defined risk preferences by the curvature of the utility function. Psychologists and behavioral economists also make use of concepts…

We provide algorithms that learn simple auctions whose revenue is approximately optimal in multi-item multi-bidder settings, for a wide range of valuations including unit-demand, additive, constrained additive, XOS, and subadditive. We…