相关论文: Procurements with Bidder Asymmetry in Cost and Ris…

We study simple and approximately optimal auctions for agents with a particular form of risk-averse preferences. We show that, for symmetric agents, the optimal revenue (given a prior distribution over the agent preferences) can be…

We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…

We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…

We provide a unifying way to analyze how risk aversion changes bidding in auctions by asking which bids become more attractive as bidders become more risk averse. In first-price auctions, under two payoff conditions--winning is never worse…

We consider nonparametric identification of independent private value first-price auction models, in which the analyst only observes winning bids. Our benchmark model assumes an exogenous number of bidders $N$. We show that, if the bidders…

We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…

Considering congestion games with uncertain delays, we compute the inefficiency introduced in network routing by risk-averse agents. At equilibrium, agents may select paths that do not minimize the expected latency so as to obtain lower…

The Combinatorial Multi-Round Ascending Auction (CMRA) is a new auction format used in recent European spectrum auctions. We show that an auction-specific version of truthful bidding leads to an efficient allocation. We then characterize…

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…

The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a…

This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…

We establish nonparametric identification of auction models with continuous and nonseparable unobserved heterogeneity using three consecutive order statistics of bids. We then propose sieve maximum likelihood estimators for the joint…

We introduce several new estimation methods that leverage shape constraints in auction models to estimate various objects of interest, including the distribution of a bidder's valuations, the bidder's ex ante expected surplus, and the…

We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…

In research and policy-making guidelines, the single-bidder rate is a commonly used proxy of corruption in public procurement used but ipso facto this is not evidence of a corrupt auction, but an uncompetitive auction. And while an…

We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…

We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…

Adversarial Risk Analysis (ARA) is an upcoming methodology that is considered to have advantages over the traditional decision theoretic and game theoretic approaches. ARA solutions for first-price sealed-bid (FPSB) auctions have been found…

This paper examines bid requirements, where the government may cancel a procurement contract unless two or more bids are received. Using a first-price auction model with endogenous entry, we compare the bid requirement and reserve price…

In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…