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The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

Persistent link: https://www.econbiz.de/10008655194

Auctions under payoff uncertainty : the case with heterogeneous bidder-aversion to downside risk

Hu, Audrey Xianhua; Zou, Liang - 2008

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is common knowledge, except that bidders have private...

Persistent link: https://www.econbiz.de/10011374400