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...

We investigate the possibility of enhancing efficiency by awarding premiums to a set of highest bidders in an English auction - in a setting that extends Maskin and Riley (1984, Econometrica 52: 1473-1518) in three aspects: (i) the seller can be risk averse, (ii) the bidders can have...

In this paper, a new paradigm is developed for analyzinginvestment strategies and pricing financial assets. This paradigmassumes that any investment strategy has its own "inherent reward" and "inherent risk" that can be judged with common sense. Ijustify axiomatically the existence and...

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

In this paper, a new paradigm is developed for analyzinginvestment strategies and pricing financial assets. This paradigmassumes that any investment strategy has its own “inherent reward”and “inherent risk” that can be judged with common sense. Ijustify axiomatically the existence and...

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...