SMU SOE Online Seminar (Nov 5, 2020, 4pm-5.30pm): Optimal Auctions for Dual Risk Averse Bidders: Myerson meets Yaari

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ABSTRACT We derive the revenue maximizing mechanism for a risk-neutral seller who faces Yaari’s [1987] dual risk-averse bidders. The optimal mechanism oﬀers “full-insurance” in the sense that each agent’s utility is independent of other agents’ reports. The seller excludes less types than under risk neutrality, and awards the object randomly to intermediate types. Subjecting intermediate types to a risky allocation while compensating them when losing allows the seller to collect larger payments from higher types. Relatively high types are anyway willing to pay more, and their allocation is eﬃcient. Finally, a ﬁrst-price auction maximizes revenue within the class of standard auctions. Keywords: Auction design, Yaari preferences, rank dependent utility, non-linear probability weighting. Click here to view the paper. Click here to view the CV.		This seminar will be held via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 4 November 2020.
		PRESENTER Mengxi Zhang University of Bonn
		RESEARCH FIELDS Mechanism Design Applied Theory Industrial Organization
		DATE: 5 November 2020 (Thursday)
		TIME: 4.00pm - 5.30pm