基于竞价人异质风险行为的首价密封拍卖:一种对抗风险分析方法

IF 2.5 4区 管理学 Q3 MANAGEMENT Decision Analysis Pub Date : 2023-03-07 DOI:10.1287/deca.2023.0469
Muhammad Ejaz, Nisho Rani, Dr Muhammad Ramzan Sheikh
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引用次数: 0

摘要

采用对抗风险分析(ARA)框架分析了首价密封投标(FPSB)拍卖中竞标者的投标行为。然而,使用非战略玩法和k级思维解决方案概念,建模是通过假设只有两个竞标者来执行的。此外,在使用ARA框架进行这些拍卖时,还没有考虑到选择性和概念上的不确定性。本文采用ARA方法对FPSB拍卖中竞标者的投标行为进行了更现实的建模。我们假设n个投标人可能有不同的财富和异质风险行为。我们使用非策略玩法和k级思维解决方案概念,除了认知不确定性之外,我们还考虑了选择性不确定性。最后,考虑概念不确定性,为这些拍卖寻找ARA解决方案。我们还提供了数值例子来说明我们的方法。
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First Price Sealed-Bid Auctions with Bidders’ Heterogeneous Risk Behavior: An Adversarial Risk Analysis Approach
Bidders’ bidding behavior is analyzed in first price sealed-bid (FPSB) auctions using an adversarial risk analysis (ARA) framework. However, using nonstrategic play and level-k thinking solution concepts, modeling is performed by assuming only two bidders. Also, the aleatory and concept uncertainties have not been yet taken into account by using an ARA framework for these auctions. In this paper, we apply an ARA approach to model bidders’ bidding behavior in a more realistic way for FPSB auctions. We assume n bidders that may have different wealth and heterogeneous risk behaviors. We use nonstrategic play and level-k thinking solution concepts, and we take into account aleatory uncertainty in addition to epistemic uncertainty. Finally, concept uncertainty is taken into account to find ARA solutions for these auctions. We also provide numerical examples to illustrate our methodology.
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来源期刊
Decision Analysis
Decision Analysis MANAGEMENT-
CiteScore
3.10
自引率
21.10%
发文量
19
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