Numerical Computation of Equilibrium Bid Functions in a First-Price Auction with Heterogeneous Risk Attitudes

A-Tier
Journal: Experimental Economics
Year: 1998
Volume: 1
Issue: 2
Pages: 147-159

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We use numerical methods to compute Nash equilibrium (NE) bid functions for four agents bidding in a first-price auction. Each bidder i is randomly assigned: ri ɛ [0, rmax], where 1 − ri is the Arrow-Pratt measure of constant relative risk aversion. Each ri is independently drawn from the cumulative distribution function Φ(ċ), a beta distribution on [0, rmax]. For various values of the maximum propensity to seek risk, rmax, the expected value of any bidder's risk characteristic, E(ri), and the probability that any bidder is risk seeking, P(ri > 1), we determine the nonlinear characteristics of the (NE) bid functions. Copyright Kluwer Academic Publishers 1998

Technical Details

RePEc Handle
repec:kap:expeco:v:1:y:1998:i:2:p:147-159
Journal Field
Experimental
Author Count
3
Added to Database
2026-01-29