Optimal selling mechanisms under moment conditions
| Autor: | Vitor Farinha Luz, Paulo Klinger Monteiro, Humberto Moreira, Vinicius Carrasco, Nenad Kos, Matthias Messner |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Computer Science::Computer Science and Game Theory
Polynomial Mathematical optimization Optimization problem INCENTIVE COMPATIBILITY MOMENT CONDITIONS 05 social sciences Optimal mechanism OPTIMAL MECHANISM DESIGN Ambiguity aversion ECONOMICS AND ECONOMETRICS Monotonic function INDIVIDUAL RATIONALITY Computer Science::Computers and Society Moment (mathematics) AMBIGUITY AVERSION Incentive compatibility ROBUSTNESS 0502 economics and business Revenue AMBIGUITY AVERSION INCENTIVE COMPATIBILITY INDIVIDUAL RATIONALITY MOMENT CONDITIONS OPTIMAL MECHANISM DESIGN ROBUSTNESS ECONOMICS AND ECONOMETRICS 050207 economics 050205 econometrics Mathematics |
| Popis: | We study the revenue maximization problem of a seller who is partially informed about the distribution of buyer's valuations, only knowing its first N moments. The seller chooses the mechanism generating the best revenue guarantee based on the information available, that is, the optimal mechanism is chosen according to maxmin expected revenue. We show that the transfer function in the optimal mechanism is given by non-negative monotonic hull of a polynomial of degree N. This enables us to transform the seller's problem into a much simpler optimization problem over N variables. The optimal mechanism is found by choosing the coefficients of the polynomial subject to a resource constraint. We show that knowledge of the first moment does not guarantee strictly positive revenue for the seller, characterize the solution for the cases of two moments and derive some characteristics of the solution for the general case. |
| Databáze: | OpenAIRE |
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