Optimal Auctions with Ambiguity
放松了投标人估值来自单一已知分布的假设，研究当估值分布存在模糊性且卖方或投标人可能厌恶模糊性时的最优拍卖问题，发现为所有类型投标人提供完全保险的拍卖总是最优的。
A crucial assumption in the optimal auction literature has been that each bidder’s valuation is known to be drawn from a single unique distribution. In this paper we relax this assumption and study the optimal auction problem when there is ambiguity about the distribution from which these valuations are drawn and where the seller or the bidder may display ambiguity aversion. We model ambiguity aversion using the maxmin expected utility model where an agent evaluates an action on the basis of the minimum expected utility over the set of priors, and then chooses the best action amongst them. We …rst consider the case where the bidders are ambiguity averse (and the seller is ambiguity neutral). Our …rst result shows that the optimal incentive compatible and individually rational mechanism must be such that for each type of bidder the minimum expected utility is attained by using the seller’s prior. Using this result we show that an auction that provides full insurance to all types of bidders is always in the set of optimal auctions. In particular, when the bidders’set of priors is the- contamination of the seller’s prior the unique optimal auction provides full insurance to bidders of all types. We also show that in general, many classical auctions, including …rst and second price are not the optimal mechanism (even with suitably chosen reserve prices). We thank Massimo Marinacci and participants of 2003 Risk Decision and Uncertainty Conference and 2004 Decentralization Conference for helpful comments. All errors are ours. y