Optimal Auctions: Non-expected Utility and Constant Risk Aversion
研究了竞拍者具有恒定风险厌恶的非期望效用偏好时的最优拍卖机制，发现该机制提供完全保险，且卖家比风险中性时排除更少类型，对中间类型随机分配物品以从高类型收取更多费用。
Abstract We study auction design for bidders equipped with non-expected utility preferences that exhibit constant risk aversion (CRA). The CRA class is large and includes loss-averse, disappointment-averse, mean-dispersion, and Yaari’s dual preferences as well as coherent and convex risk measures. Any preference in this class displays first-order risk aversion, contrasting the standard expected utility case which displays second-order risk aversion. 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 willing to pay more, and their allocation is efficient.