Optimal selling mechanisms under moment conditions
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , , , , |
Tipo de documento: | Artigo de conferência |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/27677 |
Resumo: | 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 revenue is given by 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. |
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Carrasco, ViniciusLuz, Vitor FarinhaKos, NenadMessner, MatthiasMonteiro, P. K.Moreira, Humberto AtaídeEscolasDemais unidades2019-07-05T18:14:41Z2019-07-05T18:14:41Z2017-04-08https://hdl.handle.net/10438/27677We 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 revenue is given by 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.engOptimal mechanism designRobustnessIncentive compatibilityIndividual rationalityAmbiguity aversionMoment conditionsEconomiaMercado de capitaisContratos administrativosOptimal selling mechanisms under moment conditionsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVRede de Pesquisa e Conhecimento AplicadoORIGINALOptimal selling mechanisms under moment conditions.pdfOptimal selling mechanisms under moment conditions.pdfapplication/pdf656409https://repositorio.fgv.br/bitstreams/906b50c2-c158-4b7c-aa42-3ec607a59921/download4d2ac31f62970c9920ab1d09659a2e3bMD51TEXTOptimal selling mechanisms under moment conditions.pdf.txtOptimal selling mechanisms under moment conditions.pdf.txtExtracted texttext/plain98571https://repositorio.fgv.br/bitstreams/df14785e-ead3-4191-a554-4f0558f65c64/downloadaa4e536a1abfa83e413e09fba5547069MD54THUMBNAILOptimal selling mechanisms under moment conditions.pdf.jpgOptimal selling mechanisms under moment conditions.pdf.jpgGenerated Thumbnailimage/jpeg4169https://repositorio.fgv.br/bitstreams/006d7645-5953-4ad5-a850-718b4d19f44f/downloadc849422ae49e76b7830129b337bb8f6aMD5510438/276772023-11-25 02:28:57.22open.accessoai:repositorio.fgv.br:10438/27677https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-25T02:28:57Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Optimal selling mechanisms under moment conditions |
title |
Optimal selling mechanisms under moment conditions |
spellingShingle |
Optimal selling mechanisms under moment conditions Carrasco, Vinicius Optimal mechanism design Robustness Incentive compatibility Individual rationality Ambiguity aversion Moment conditions Economia Mercado de capitais Contratos administrativos |
title_short |
Optimal selling mechanisms under moment conditions |
title_full |
Optimal selling mechanisms under moment conditions |
title_fullStr |
Optimal selling mechanisms under moment conditions |
title_full_unstemmed |
Optimal selling mechanisms under moment conditions |
title_sort |
Optimal selling mechanisms under moment conditions |
author |
Carrasco, Vinicius |
author_facet |
Carrasco, Vinicius Luz, Vitor Farinha Kos, Nenad Messner, Matthias Monteiro, P. K. Moreira, Humberto Ataíde |
author_role |
author |
author2 |
Luz, Vitor Farinha Kos, Nenad Messner, Matthias Monteiro, P. K. Moreira, Humberto Ataíde |
author2_role |
author author author author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas Demais unidades |
dc.contributor.author.fl_str_mv |
Carrasco, Vinicius Luz, Vitor Farinha Kos, Nenad Messner, Matthias Monteiro, P. K. Moreira, Humberto Ataíde |
dc.subject.eng.fl_str_mv |
Optimal mechanism design Robustness Incentive compatibility Individual rationality Ambiguity aversion Moment conditions |
topic |
Optimal mechanism design Robustness Incentive compatibility Individual rationality Ambiguity aversion Moment conditions Economia Mercado de capitais Contratos administrativos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado de capitais Contratos administrativos |
description |
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 revenue is given by 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. |
publishDate |
2017 |
dc.date.issued.fl_str_mv |
2017-04-08 |
dc.date.accessioned.fl_str_mv |
2019-07-05T18:14:41Z |
dc.date.available.fl_str_mv |
2019-07-05T18:14:41Z |
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info:eu-repo/semantics/publishedVersion |
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https://hdl.handle.net/10438/27677 |
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https://hdl.handle.net/10438/27677 |
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eng |
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