基于财富效用的产权拍卖定价的计算模拟

Computational simulation on auction pricing of property rights based on the wealth utility

通过构造财富效用函数建立了产权协商交易定价模型,导出产权交易定价的加权边际效用零和方程.根据不同竞买人的偏好差异和对产权的预期价值差异,运用出售方与不同竞买人的加权边际效用零和的定价方程求解出对应的协商交易均衡价格,并选择最大均衡价格作为产权拍卖中标的参考价格.计算了不同中标价格的出售方和中标人的财富效用值和福利水平值,比较发现只有以最大均衡价格中标产权拍卖的福利水平和市场效率最高;若中标价格大于产权的最大预期价值,拍卖交易的福利水平为负,并出现所谓的"赢者灾难".对竞买人用于竞标的财富实力对均衡价格的影响作了初步探讨,其研究结论符合常理.

The bargaining pricing model is built by constructing the wealth utility function of property right price; the equation of weighted marginal utility zero-sum for solving the equilibrium price of property right is derived. In the light of differenc.es of preferences and expectation values to property right of buyers, the equilibrium prices of bargaining is solved by means of the different equations of weighted marginal utility zero-sum of seller and buyers with a numerical case, and the maximum equilibrium price is chosen as the winner reference price. The wealth utilities and welfare function level of the seller and the winners at different winner prices are computed, by the comparison of the computed results, only the maximum equilibrium price has the highest welfare function level and highest market efficiency. And if the winner price is higher than the maximum expected value of the property right, the welfare function level is negative, it is so called ＂Winner＇s curse＂. At last, the effect of wealth power of a buyer for target property right on equilibrium price is initially discussed, which result conforms to common rule.