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arXiv · 2112.11320

Bidding in Multi-Unit Auctions under Limited Information

Bernhard Kasberger·Kyle Woodward
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Abstract

We study multi-unit auctions in which bidders have limited knowledge of opponent strategies and values. We characterize optimal prior-free bids; these bids minimize the maximal loss in expected utility resulting from uncertainty surrounding opponent behavior. Optimal bids are readily computable despite bidders having multi-dimensional private information, and in certain cases admit closed-form solutions. In the pay-as-bid auction the minimax-loss bid is unique; in the uniform-price auction the minimax-loss bid is unique if the bidder is allowed to determine the quantities for which they bid, as in many practical applications. We compare minimax-loss bids and auction outcomes across auction formats, and derive testable predictions.

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econ.TH

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Bernhard Kasberger, Kyle Woodward. 2021-12-21. Bidding in Multi-Unit Auctions under Limited Information. https://arxiv.org/abs/2112.11320

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