Publication Type

Journal Article

Version

submittedVersion

Publication Date

3-2022

Abstract

We study the design of auctions when the auctioneer has limited statistical information about the joint distribution of the bidders' valuations. More specifically, we consider an auctioneer who has an estimate of the marginal distribution of a generic bidder's valuation but does not have reliable information about the correlation structure. We analyze the performance of mechanisms in terms of the revenue guarantee, that is, the greatest lower bound of revenue across all joint distributions that are consistent with the marginals. A simple auction format, the second-price auction with no reserve price, is shown to be asymptotically optimal, as the number of bidders goes to infinity. For markets with a finite number of bidders, we (1) solve for the robustly optimal reserve price that generates the highest revenue guarantee among all second-price auctions with deterministic reserve prices, and (2) show that a second-price auction with a random reserve price generates the highest revenue guarantee among all standard dominant-strategy mechanisms.

Keywords

Robust mechanism design, correlation, second-price auction, low reserve price, duality approach, optimal transport

Discipline

Economics | Economic Theory

Research Areas

Economic Theory

Publication

Journal of Economic Theory

Volume

200

First Page

1

Last Page

67

ISSN

0022-0531

Identifier

10.1016/j.jet.2021.105403

Publisher

Elsevier

Embargo Period

11-9-2020

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1016/j.jet.2021.105403

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