中文摘要
本文研究当竞买人具有模糊厌恶并遵循最大最小期望效用模型时的最优拍卖设计问题。每个竞买人的先验集合由与卖方信念相接近的信念构成，其中“接近”由某种散度定义。对于给定的配置规则，我们证明最优转移支付属于一类特定的转移支付，称为胜负相依转移支付，即竞买人在获胜和失败时的转移支付仅取决于其自身类型，而不取决于对手的类型报告。这一结果有效地将识别最优转移函数的无穷维问题简化为确定两个常数的二维问题——一个对应获胜，另一个对应失败。求解这一简化问题后，我们证明，在不向失败竞买人进行转移支付的有效机制中，第一价格拍卖是最优的，从而优于第二价格拍卖等其他拍卖形式。我们还讨论了先验集合的结构与第一价格拍卖和第二价格拍卖之间收入排序的关系。
Abstract
We study the optimal auction design problem when bidders are ambiguity averse and follow the max-min expected utility model. Each bidder’s set of priors consists of beliefs that are close to the seller’s belief, where “closeness” is defined by a divergence. For a given allocation rule, we show that optimal transfers belong to a specific class of transfers, termed win-lose dependent transfers, in which bidders’ transfers upon winning and losing depend only on their own types but not on their opponents’ type reports. This result effectively reduces the infinite-dimensional problem of identifying an optimal transfer function into a two-dimensional problem of determining two constants-one for winning and another for losing. Solving this reduced problem, we show that among efficient mechanisms without transfers to losing bidders, the first-price auction is optimal, thereby outperforming other auction formats such as the second-price auction. We also discuss how the structure of the set of priors is related to the revenue ranking between the first- and second-price auctions.