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| Content Provider | ACM Digital Library |
|---|---|
| Author | Sundararajan, Mukund Yan, Qiqi |
| Abstract | The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the economics literature, we model the risk-aversion of a seller by endowing the seller with a monotone concave utility function. We then seek robust mechanisms that are approximately optimal for all sellers, no matter what their levels of risk-aversion are. We have two main results for multi-unit auctions with unit-demand bidders whose valuations are drawn i.i.d. from a regular distribution. First, we identify a posted-price mechanism called the Hedge mechanism, which gives a universal constant factor approximation; we also show for the unlimited supply case that this mechanism is in a sense the best possible. Second, we show that the VCG mechanism gives a universal constant factor approximation when the number of bidders is even only a small multiple of the number of items. Along the way we point out that Myerson's characterization of the optimal mechanisms fails to extend to utility-maximization for risk-averse sellers, and establish interesting properties of regular distributions and monotone hazard rate distributions. |
| Starting Page | 139 |
| Ending Page | 148 |
| Page Count | 10 |
| File Format | |
| ISBN | 9781605588223 |
| DOI | 10.1145/1807342.1807365 |
| Language | English |
| Publisher | Association for Computing Machinery (ACM) |
| Publisher Date | 2010-06-07 |
| Publisher Place | New York |
| Access Restriction | Subscribed |
| Subject Keyword | Utility Risk-aversion Optimal auctions Revenue maximization |
| Content Type | Text |
| Resource Type | Article |
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