Robust auctions with affiliated private values (Q6956264)

In this paper, the author study auctions in an affiliated private value framework in which buyers face ambiguity over the distribution of the others' valuations and make choices that are robust to that ambiguity. It is shown that, in contrast to the Bayesian case, a first-price auction can generate a higher revenue than a second-price auction in the presence of ambiguity. The author extends his research to the study of large double auctions. More precisely, a ``pay-as-bid'' double auction mechanism is proposed and it is demonstrated that for any nontrivial degree of ambiguity, this mechanism realizes efficient trade and is balanced with an ex-post budget with probability one as the market size increases. The proofs of all basic statements can be found in Appendices A--F.