Numerical Computation of Equilibrium Bid Functions in a First-Price Auction with Heterogeneous Risk Attitudes
用数值方法计算了四个投标人在第一价格拍卖中的纳什均衡投标函数，每个投标人具有随机分配的常数相对风险厌恶系数，并分析了风险偏好参数对投标函数非线性的影响。
Abstract We use numerical methods to compute Nash equilibrium (NE) bid functions for four agents bidding in a first-price auction. Each bidder i is randomly assigned: r i [0, r max ], where 1 — r i is the Arrow-Pratt measure of constant relative risk aversion. Each r i is independently drawn from the cumulative distribution function Φ(·), a beta distribution on [0, r max ]. For various values of the maximum propensity to seek risk, r max, the expected value of any bidder's risk characteristic, E(r i ), and the probability that any bidder is risk seeking, P (r i > 1), we determine the nonlinear characteristics of the (NE) bid functions.