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Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Auctioning Risk: The All-Pay Auction under Mean-Variance Preferences |
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| Series Name | University of Zurich, Department of Economics, Working Paper Series |
| Number | 97 |
| ISSN | 1664-705X |
| Date | 2012 |
| Abstract Text | We analyse the all-pay auction with incomplete information and variance-averse bidders. We characterise the symmetric equilibrium for general distributions of valuations and any num- ber of bidders. Variance aversion is a sufficient assumption to predict that high-type bidders increase their bids relative to the risk-neutral case while low types decrease their bid. Con- sidering an asymmetric two-player environment with uniform valuations, we show that a more variance-averse type always bids higher than her less variance-averse counterpart. Taking mean-variance bidding behaviour as given, we show that an expected revenue maximising seller may want to optimally limit the number of participants. |
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