Universität zu Köln

Carrasco, Vinicius, Luz, Vitor Farinha, Kos, Nenad, Messner, Matthias, Monteiro, Paulo and Moreira, Humberto (2018). Optimal selling mechanisms under moment conditions. J. Econ. Theory, 177. S. 245 - 280. SAN DIEGO: ACADEMIC PRESS INC ELSEVIER SCIENCE. ISSN 1095-7235

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Abstract

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 mechanism is chosen according to 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. (C) 2018 Published by Elsevier Inc.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Carrasco, Vinicius UNSPECIFIED UNSPECIFIED UNSPECIFIED Luz, Vitor Farinha UNSPECIFIED UNSPECIFIED UNSPECIFIED Kos, Nenad UNSPECIFIED UNSPECIFIED UNSPECIFIED Messner, Matthias UNSPECIFIED UNSPECIFIED UNSPECIFIED Monteiro, Paulo UNSPECIFIED UNSPECIFIED UNSPECIFIED Moreira, Humberto UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-174509
DOI:	10.1016/j.jet.2018.05.005
Journal or Publication Title:	J. Econ. Theory
Volume:	177
Page Range:	S. 245 - 280
Date:	2018
Publisher:	ACADEMIC PRESS INC ELSEVIER SCIENCE
Place of Publication:	SAN DIEGO
ISSN:	1095-7235
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language DESIGN; UNCERTAINTY; CONTRACTS; SELECTION Multiple languages Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/17450