TY - JOUR
T1 - All-pay auctions with risk-averse players
AU - Fibich, Gadi
AU - Gavious, Arieh
AU - Sela, Aner
PY - 2006/11
Y1 - 2006/11
N2 - We study independent private-value all-pay auctions with risk-averse players. We show that: (1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. (2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. (3) Players' expected utilities in an all-pay auction are lower than in a first-price auction. We also use perturbation analysis to calculate explicit approximations of the equilibrium strategies of risk-averse players and the seller's expected revenue. In particular, we show that in all-pay auctions the seller's expected payoff in the risk-averse case may be either higher or lower than in the risk neutral case.
AB - We study independent private-value all-pay auctions with risk-averse players. We show that: (1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. (2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. (3) Players' expected utilities in an all-pay auction are lower than in a first-price auction. We also use perturbation analysis to calculate explicit approximations of the equilibrium strategies of risk-averse players and the seller's expected revenue. In particular, we show that in all-pay auctions the seller's expected payoff in the risk-averse case may be either higher or lower than in the risk neutral case.
KW - Perturbation analysis
KW - Private-value auctions
KW - Risk aversion
UR - http://www.scopus.com/inward/record.url?scp=33750897684&partnerID=8YFLogxK
U2 - 10.1007/s00182-006-0034-5
DO - 10.1007/s00182-006-0034-5
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AN - SCOPUS:33750897684
SN - 0020-7276
VL - 34
SP - 583
EP - 599
JO - International Journal of Game Theory
JF - International Journal of Game Theory
IS - 4
ER -