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Adversarial Risk Analysis for Auctions Using Mirror Equilibrium and Bayes Nash Equilibrium

Author

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  • Muhammad Ejaz

    (Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand)

  • Stephen Joe

    (Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand)

  • Chaitanya Joshi

    (Department of Mathematics, The University of Waikato, Hamilton 3240, New Zealand)

Abstract

In this paper, we use the adversarial risk analysis (ARA) methodology to model first-price sealed-bid auctions under quite realistic assumptions. We extend prior work to find ARA solutions for mirror equilibrium and Bayes Nash equilibrium solution concepts, not only for risk-neutral but also for risk-averse and risk-seeking bidders. We also consider bidders having different wealth and assume that the auctioned item has a reserve price.

Suggested Citation

  • Muhammad Ejaz & Stephen Joe & Chaitanya Joshi, 2021. "Adversarial Risk Analysis for Auctions Using Mirror Equilibrium and Bayes Nash Equilibrium," Decision Analysis, INFORMS, vol. 18(3), pages 185-202, September.
    • Handle: RePEc:inm:ordeca:v:18:y:2021:i:3:p:185-202
    DOI: 10.1287/deca.2021.0425
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    References listed on IDEAS

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