Abstract
We study private-value auctions with n risk-averse bidders, where n is large. We first use asymptotic analysis techniques to calculate explicit approximations oftheequilibriumbidsandoftheseller'srevenueinany k-priceauction(k = 1,2 ,... ). These explicit approximations show that in all large k-price auctions the effect of risk-aversion is O(1/n 2 ) small. Hence, all large k-price auctions with risk-averse bid- ders are O(1/n 2 ) revenue equivalent. The generalization, that all large auctions are O(1/n 2 ) revenue equivalent, is false. Indeed, we show that there exist auction mech- anisms for which the limiting revenue as n −→ ∞ with risk-averse bidders is strictly below the risk-neutral limit. Therefore, these auction mechanisms are not revenue equivalent to large k-price auctions even to leading-order as n −→ ∞.
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