风险规避情形下第一价格拍卖的非参数估计方法

Nonparametric Estimation Method for Risk Aversion Case in First-price Auction

在拍卖实证研究的大量文献中,越来越多的证据表明投标人更趋向于风险规避,然而目前拍卖计量方法通常只考虑风险中性的情形。针对这一问题,推广了针对第一价格拍卖的非参数估计方法,给出了多个风险规避参数估计量来处理风险规避的情形,并总结了相应的估计过程。为验证估计效果,蒙特卡罗模拟实验被用于进行分析和评价。实验结果表明,无论是对风险规避参数,还是私有估值的估计,总体上都能取得不错的效果,验证了方法的有效性,同时为风险规避参数估计量的选择提供了一些指导性建议。

In many literatures on auction empirical studies,more and more clues show that the bidders indeed tend to risk averse.However,current many auction quantitative methods only consider the case of risk neutrality.In order to solve this problem,the nonparametric estimation method of the first-price auction is generalized to the risk aversion case,several estimators of risk aversion parameter are given,and then a simple estimation procedure is summarized.Finally,Monte Carlo simulation experiments are utilized to evaluate the estimation performance.The experimental results show that the proposed nonparametric estimation method can work well in estimating the risk aversion parameter as well as private valuations,thus verifying the effectiveness of the method.At the same time,some guidance on selecting the estimator of risk aversion parameter is given on the basis of the Monte Carlo simulation experiments.