风险规避卖方的稳健机制
Robust Mechanisms for Risk-Averse Sellers
摘要：
现有的最优拍卖文献主要关注卖方期望收益的优化，适用于风险中性的卖方。在本文中，我们确定了良好的机制，规避风险的卖方。按照经济学文献中的标准，我们通过赋予卖方单调凹效用函数来模拟卖方的风险规避。然后，我们寻求对所有卖家都近似最优的稳健机制，无论他们的风险规避水平如何。我们有两个主要的结果，多单位拍卖与单位需求投标人的估价是画i.i.d.。一个有规律的分布。首先，我们确定了一个posted价格机制称为对冲机制，它给出了一个普遍的常数因子近似，我们还表明，无限供应的情况下，这种机制在某种意义上是最好的可能。其次，我们表明，VCG机制给出了一个普遍的常数因子近似时，投标人的数量，甚至只有一个小的项目数量的倍数。一路上，我们指出，迈尔森的最佳机制的表征未能扩展到效用最大化的风险厌恶的卖方，并建立有趣的定期分布和单调的风险率分布的属性。
英文摘要：
The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the economics literature, we model the risk-aversion of a seller by endowing the seller with a monotone concave utility function. We then seek robust mechanisms that are approximately optimal for all sellers, no matter what their levels of risk-aversion are. We have two main results for multi-unit auctions with unit-demand bidders whose valuations are drawn i.i.d. from a regular distribution. First, we identify a posted-price mechanism called the Hedge mechanism, which gives a universal constant factor approximation; we also show for the unlimited supply case that this mechanism is in a sense the best possible. Second, we show that the VCG mechanism gives a universal constant factor approximation when the number of bidders is even only a small multiple of the number of items. Along the way we point out that Myerson's characterization of the optimal mechanisms fails to extend to utility-maximization for risk-averse sellers, and establish interesting properties of regular distributions and monotone hazard rate distributions.
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