Robust auctions with affiliated private values
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.
- A dynamic mechanism and surplus extraction under ambiguity
- A rule for updating ambiguous beliefs
- A Smooth Model of Decision Making under Ambiguity
- A Theory of Auctions and Competitive Bidding
- Ambiguity aversion in first-price sealed-bid auctions
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Ambiguous beliefs and mechanism design
- Approximate Bayesian implementation and exact maxmin implementation: an equivalence
- Convergence to Efficiency in a Simple Market with Incomplete Information
- Correlated Information and Mecanism Design
- Efficiency of Large Double Auctions
- Efficient implementation with interdependent valuations and maxmin agents
- Efficient mechanisms for bilateral trading
- Ellsberg Revisited: An Experimental Study
- Empirical relevance of ambiguity in first-price auctions
- Existence and Convergence of Equilibria in the Buyer's Bid Double Auction
- Existence of equilibrium in large double auctions
- scientific article; zbMATH DE number 53178 (Why is no real title available?)
- IID: Independently and indistinguishably distributed.
- Intertemporal Asset Pricing under Knightian Uncertainty
- Maxmin expected utility with non-unique prior
- Mechanism design with ambiguous communication devices
- Mechanism design with ambiguous transfers: an analysis in finite dimensional naive type spaces
- Mechanism design with maxmin agents: theory and an application to bilateral trade
- Optimality versus practicality in market design: a comparison of two double auctions
- Public goods with ambiguity in large economies
- Risk, ambiguity and the Savage axioms
- Robust bidding and revenue in descending price auctions
- Sealed bid auctions with uncertainty averse bidders
- Search and Knightian uncertainty
- Subjective Probability and Expected Utility without Additivity
- The design of ambiguous mechanisms
- The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large
- The shill bidding effect versus the linkage principle
- Toward a Strategic Foundation for Rational Expectations Equilibrium
- Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility
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