Winner-Pays-Bid Auctions Minimize Variance
arxiv(2024)
摘要
Any social choice function (e.g the efficient allocation) can be implemented
using different payment rules: first price, second price, all-pay, etc. All of
these payment rules are guaranteed to have the same expected revenue by the
revenue equivalence theorem, but have different distributions of revenue,
leading to a question of which one is best. We prove that among all possible
payment rules, winner-pays-bid minimizes the variance in revenue and, in fact,
minimizes any convex risk measure.
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