Journal article
An optimal auction with correlated values and risk aversion
- Abstract:
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We consider an auction setting where the buyers are risk averse with correlated private valuations (CARA preferences, binary types), and characterize the optimal mechanism for a risk neutral seller. We show that the optimal auction extracts all buyer surplus whenever the correlation is sufficiently strong (greater than 1/3 in absolute value), no matter how risk averse the buyers are. In contrast, we note that a sufficiently risk-averse seller would not ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 197.3KB)
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- Publisher copy:
- 10.1016/j.jet.2004.06.005
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Authors
Bibliographic Details
- Publisher:
- Elsevier
- Journal:
- Journal of Economic Theory Journal website
- Volume:
- 125
- Issue:
- 1
- Pages:
- 78 - 89
- Publication date:
- 2005-01-01
- DOI:
- ISSN:
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0022-0531
Item Description
- UUID:
-
uuid:33713cde-d844-4ed1-94ff-571098bbd3de
- Local pid:
- oai:economics.ouls.ox.ac.uk:14791
- Deposit date:
- 2011-08-16
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Terms of use
- Copyright holder:
- Elsevier Inc
- Copyright date:
- 2005
- Notes:
- Copyright 2004 Elsevier Inc. All rights reserved. NOTICE: this is the author's version of a work that was accepted for publication in Journal of Economic Theory. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Theory, 125, 1, (November 2005) DOI#10.1016/j.jet.2004.06.005
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