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First-price sealed-bid auctions when bidders exhibit different attitudes toward risk

Author

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  • François Marechal

    () (CRESE - Centre de REcherches sur les Stratégies Economiques (EA 3190) - UBFC - Université Bourgogne Franche-Comté - UFC - Université de Franche-Comté)

  • Pierre-Henri Morand

    () (CRESE - Centre de REcherches sur les Stratégies Economiques (EA 3190) - UBFC - Université Bourgogne Franche-Comté - UFC - Université de Franche-Comté)

Abstract

When bidders have different risk aversion levels, we determine in a first-price auction the asymmetric equilibrium strategies. We analyze the impactof asymmetric risk aversion levels on bidders' markups and on the expected revenue and allocative efficiency of the auction

Suggested Citation

  • François Marechal & Pierre-Henri Morand, 2011. "First-price sealed-bid auctions when bidders exhibit different attitudes toward risk," Post-Print hal-01313412, HAL.
  • Handle: RePEc:hal:journl:hal-01313412
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01313412
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    References listed on IDEAS

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    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. Cox, James C & Smith, Vernon L & Walker, James M, 1985. "Experimental Development of Sealed-Bid Auction Theory: Calibrating Controls for Risk Aversion," American Economic Review, American Economic Association, vol. 75(2), pages 160-165, May.
    3. Susan Athey & Jonathan Levin, 2001. "Information and Competition in U.S. Forest Service Timber Auctions," Journal of Political Economy, University of Chicago Press, vol. 109(2), pages 375-417, April.
    4. Goeree, Jacob K. & Holt, Charles A. & Palfrey, Thomas R., 2002. "Quantal Response Equilibrium and Overbidding in Private-Value Auctions," Journal of Economic Theory, Elsevier, vol. 104(1), pages 247-272, May.
    5. Bruno Biais & Peter Bossaerts, 1998. "Asset Prices and Trading Volume in a Beauty Contest," Review of Economic Studies, Oxford University Press, vol. 65(2), pages 307-340.
    6. von Ungern-Sternberg, Thomas, 1991. "Swiss Auctions," Economica, London School of Economics and Political Science, vol. 58(231), pages 341-357, August.
    7. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 13(3), pages 227-286, July.
    8. Matthews, Steven A., 1983. "Selling to risk averse buyers with unobservable tastes," Journal of Economic Theory, Elsevier, vol. 30(2), pages 370-400, August.
    9. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 13(3), pages 227-86, July.
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    Cited by:

    1. Lorentziadis, Panos L., 2016. "Optimal bidding in auctions from a game theory perspective," European Journal of Operational Research, Elsevier, vol. 248(2), pages 347-371.

    More about this item

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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