Risk aversion in first-price security-bid auctions

IF 0.8 4区管理学 Q4 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Operations Research Letters Pub Date : 2024-05-16 DOI:10.1016/j.orl.2024.107121

Elnaz Bajoori , Lisa Maria Kreusser , Ronald Peeters , Leonard Wolk

引用次数: 0

Abstract

We study how risk aversion affects equilibrium bidding strategies in a first-price security-bid auction. We show that if the bidder's expected utility is concave and their marginal expected utility decreases as the degree of risk aversion increases – conditions that are shown to be satisfied under some conditions for four prominent securities (cash, equity, debt, and call option) –, the increase in the degree of risk aversion leads to lower bids in equilibrium.

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第一出价担保竞拍中的风险规避

我们研究了风险规避如何影响第一价格证券竞价拍卖中的均衡竞价策略。我们的研究表明，如果投标人的预期效用是凹形的，而且他们的边际预期效用会随着风险规避程度的增加而减少--对于四种主要证券（现金、股票、债务和看涨期权）来说，这些条件在某些条件下都能得到满足--那么风险规避程度的增加就会导致均衡出价的降低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Operations Research Letters 管理科学-运筹学与管理科学

CiteScore

2.10

自引率

9.10%

发文量

111

审稿时长

83 days

期刊介绍： Operations Research Letters is committed to the rapid review and fast publication of short articles on all aspects of operations research and analytics. Apart from a limitation to eight journal pages, quality, originality, relevance and clarity are the only criteria for selecting the papers to be published. ORL covers the broad field of optimization, stochastic models and game theory. Specific areas of interest include networks, routing, location, queueing, scheduling, inventory, reliability, and financial engineering. We wish to explore interfaces with other fields such as life sciences and health care, artificial intelligence and machine learning, energy distribution, and computational social sciences and humanities. Our traditional strength is in methodology, including theory, modelling, algorithms and computational studies. We also welcome novel applications and concise literature reviews.