A dynamic mechanism and surplus extraction under ambiguity

作者：Bose Subir; Daripa Arup^*

来源：Journal of Economic Theory, 2009, 144(5): 2084-2114.

DOI：10.1016/j.jet.2009.02.003

• Ambiguity aversion
• Epsilon contamination
• Modified Dutch auction
• Dynamic mechanism
• Surplus extraction
• Revelation principle

We study the question of auction design in an IPV setting characterized by ambiguity. We assume that the preferences of agents exhibit ambiguity aversion; in particular, they are represented by the epsilon-contamination model. We show that a simple variation of a discrete Dutch auction can extract almost all surplus. This contrasts with optimal auctions under IPV without ambiguity as well as with optimal static auctions with ambiguity-in all of these, types other than the lowest participating type obtain a positive surplus. An important point of departure is that the modified Dutch mechanism is dynamic rather than static, establishing that under ambiguity aversion-even when the setting is IPV in all other respects-a dynamic mechanism can have additional bite over its static counterparts. A further general insight is that the standard revelation principle does not automatically extend to environments not characterized by subjective expected utility.

• 出版日期2009-9