相关论文: On Bidding with Securities: Risk Aversion and Posi…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

We study reserve prices in auctions with independent private values when bidders are expectations-based loss averse. We find that the optimal public reserve price excludes fewer bidder types than under risk neutrality. Moreover, we show…

The concept of "stochastic precedence" between two real-valued random variables has often emerged in different applied frameworks. In this paper we consider a slightly more general, and completely natural, concept of stochastic precedence…

We study the design of prior-independent auctions in a setting with heterogeneous bidders. In particular, we consider the setting of selling to $n$ bidders whose values are drawn from $n$ independent but not necessarily identical…

Traditionally, the Bayesian optimal auction design problem has been considered either when the bidder values are i.i.d., or when each bidder is individually identifiable via her value distribution. The latter is a reasonable approach when…

Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…

Designing revenue optimal auctions for selling an item to $n$ symmetric bidders is a fundamental problem in mechanism design. Myerson (1981) shows that the second price auction with an appropriate reserve price is optimal when bidders'…

The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…

A seller wants to sell a good to a set of bidders using a credible mechanism. We show that when the seller has private information about her cost, it is impossible for a static mechanism to achieve the optimal revenue. In particular, even…

We study the question of setting and testing reserve prices in single item auctions when the bidders are not identical. At a high level, there are two generalizations of the standard second price auction: in the lazy version we first…

We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…

I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder's valuation, but does not know the correlation structure of the joint distribution of bidders'…

Auction theories are believed to provide a better selling opportunity for the resources to be allocated. Various organizations have taken measures to increase trust among participants towards their auction system, but trust alone cannot…

Stablecoins have historically depegged due from par to large sales, possibly of speculative nature, or poor reserve asset quality. Using a global game which addresses both concerns, we show that the selling pressure on stablecoin holders…

Stochastic dominance is a preference relation of uncertain prospect defined over a class of utility functions. While this utility class represents basic properties of risk aversion, it includes some extreme utility functions rarely…

In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…

Interdependent values make basic auction design tasks -- in particular maximizing welfare truthfully in single-item auctions -- quite challenging. Eden et al. recently established that if the bidders valuation functions are submodular over…

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…

Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…

Proportional dynamics, originated from peer-to-peer file sharing systems, models a decentralized price-learning process in Fisher markets. Previously, items in the dynamics operate independently of one another, and each is assumed to belong…