Informationally Robust Optimal Auction Design
A single unit of a good is to be sold by auction to one of two buyers. The good has either a high value or a low value, with known prior probabilities. The designer of the auction knows the prior over values but is uncertain about the correct model of the buyers’ beliefs. The designer evaluates a given auction design by the lowest expected revenue that would be generated across all models of buyers’ information that are consistent with the common prior and across all Bayesian equilibria. An optimal auction for such a seller is constructed, as is a worst-case model of buyers’ information. The theory generates upper bounds on the seller’s optimal payoff for general many-player and common-value models.
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References listed on IDEAS
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- Nenad Kos & Matthias Messner, 2015.
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551, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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- Lars Peter Hansen & Thomas J. Sargent, 2001. "Acknowledging Misspecification in Macroeconomic Theory," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 519-535, July.
- Roger B. Myerson, 1981. "Optimal Auction Design," Mathematics of Operations Research, INFORMS, vol. 6(1), pages 58-73, February. Full references (including those not matched with items on IDEAS)
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