Correlation-robust auction design

He, Wei; Li, Jiangtao

doi:10.1016/j.jet.2021.105403

Cited by 14 publications

(11 citation statements)

References 23 publications

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“…The closestly related paper is He and Li (2020), who consider exactly the same setting, but restrict attention to second price auctions. Specifically, they find the worst-case correlation structure for the second price auction without a reserve price, characterize the optimal deterministic reserve for the second price auction, and characterize the optimal random reserve for the second price auction under the sufficient condition that xf (x) is non-decreasing.…”

Section: Related Literaturementioning

confidence: 99%

“…For the second price auction, He and Li (2020) have shown that the revenue guarantee for the second price auction is…”

Section: A Special Case: Equal Revenue Distributionmentioning

confidence: 99%

“…We divide the value profiles into three cases. By He and Li (2020), the revenue guarantee of the second price auction with the optimal deterministic reserve for N-bidder case is as follows: Proof. The intuition behind this is the observation that given the Second Price Auction with Uniformly Distributed Reserves, the high bidder's allocation is strictly monotone and strictly positive but less than 1 when the her value v ∈ (0, 1).…”

Section: B1 Proof Of Lemmamentioning

confidence: 99%

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Correlation-Robust Optimal Auctions

Zhang¹

2021

Preprint

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We study the design of auction within the correlation-robust framework in which the auctioneer is assumed to have information only about marginal distributions, but does not know the correlation structure of the joint distribution. The performance of a mechanism is evaluated in the worst-case over the uncertainty of joint distributions that are consistent with the marginal distributions. For the two-bidder case, we characterize the Second Price Auction with Uniformly Distributed Reserves as a maxmin auction among dominant strategy incentive compatible (DSIC) and ex-post individually rational (EPIR) mechanisms under the robust-version regularity conditions. For the N -bidder (N ≥ 3) case, we characterize the Second Price Auction with Beta( 1 N −1 , 1) Distributed Reserves as a maxmin auction among exclusive (a bidder whose bid is not the highest will never be allocated) DSIC and EPIR mechanisms under the general robust-version regularity conditions (I).

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Section: Related Literaturementioning

confidence: 99%

“…For the second price auction, He and Li (2020) have shown that the revenue guarantee for the second price auction is…”

Section: A Special Case: Equal Revenue Distributionmentioning

confidence: 99%

Section: B1 Proof Of Lemmamentioning

confidence: 99%

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Correlation-Robust Optimal Auctions

Zhang¹

2021

Preprint

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“…In particular, Carroll [2017] studies a multi-dimensional screening problem, where the principal knows only the marginals of the agent's type distribution, and designs a mechanism that is robust to all possible correlation structures. With similar robustness concerns regarding the correlations of values between different bidders, He and Li [2020] study an auctioneer's robust design problem when selling a single indivisible good to a group of bidders.…”

Section: Related Literaturementioning

confidence: 99%

Robust Merging of Information

Oliveira

Ishii

Xiao

2021

Preprint

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When multiple sources of information are available, any decision must take into account their correlation. If information about this correlation is lacking, an agent may find it desirable to make a decision that is robust to possible correlations. Our main results characterize the strategies that are robust to possible hidden correlations. In particular, with two states and two actions, the robustly optimal strategy pays attention to a single information source, ignoring all others. More generally, the robustly optimal strategy may need to combine multiple information sources, but can be constructed quite simply by using a decomposition of the original problem into separate decision problems, each requiring attention to only one information source. An implication is that an information source generates value to the agent if and only if it is best for at least one of these decomposed problems.

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“…He and Li (2020) study the robust optimal mechanism for selling a single item to multiple buyers. Similar toCarroll (2017), the seller knows exact marginal distributions of buyers' valuations without any knowledge of their correlation.7 The maximin approach has a long tradition in economics starting withWald (1950) and has a well-known axiomatic foundation via ambiguity aversion (seeGilboa and Schmeidler (1989)).…”

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confidence: 99%

Robustly Optimal Mechanisms for Selling Multiple Goods

Che¹,

Zhong²

2021

Preprint

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We study robustly-optimal mechanisms for selling multiple items. The seller maximizes revenue against a worst-case distribution of a buyer's valuations within a set of distributions, called an "ambiguity" set. We identify the exact forms of robustlyoptimal selling mechanisms and the worst-case distributions when the ambiguity set satisfies a variety of moment conditions on the values of subsets of goods. We also identify general properties of the ambiguity set that lead to the robust optimality of partial bundling which includes separate sales and pure bundling as special cases.

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Correlation-robust auction design

Cited by 14 publications

References 23 publications

Correlation-Robust Optimal Auctions

Correlation-Robust Optimal Auctions

Robust Merging of Information

Robustly Optimal Mechanisms for Selling Multiple Goods

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