Activities per year
Abstract
We develop the idea of using meanvariance preferences for the analysis of the firstprice, allpay auction. On the bidding side, we characterise the optimal strategy in symmetric allpay auctions under meanvariance preferences for general distributions of valuations and any number of bidders. We find that, in contrast to winnerpay auction formats, only hightype bidders increase their bids relative to the riskneutral case while low types minimise variance exposure by bidding low. Introducing asymmetric variance aversions across bidders into a Uniform valuations, twoplayer framework, we show that a more varianceaverse type bids always higher than her less varianceaverse counterpart. Taking meanvariance bidding behaviour as given, we show that an expected revenue maximising seller may want to optimally limit the number of participants. Although expected revenue for riskneutral bidders typically dominates revenue under meanvariance bidding, if the seller himself takes account of the variance of revenue, he may find it preferable to attract bidders endowed with meanvariance preferences.
Original language  English 

Number of pages  21 
Publication status  In preparation  2012 

Departmental Seminar
Paul Schweinzer (Invited speaker)
7 Aug 2014Activity: Talk or presentation › Invited talk

Departmental seminar
Paul Schweinzer (Invited speaker)
20 Mar 2014Activity: Talk or presentation › Invited talk

CESifo Area Conference on Applied Microeconomics
Paul Schweinzer (Speaker)
28 Feb 2014Activity: Participating in or organising an event › Conference participation