We study a seller who sets a reserve price in a second price auction with uncertainty over the joint distribution of bidders' valuations  . The seller only knows the mean of the marginal distribution of each bidder's valuation and the range, and an adversarial nature chooses the worst-case distribution within this ambiguity set. We use a dual characterization to solve for this distribution . We find that the seller's optimal reserve price tends to be low and converges to zero in probability as the number of bidders increases .
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations , as well as bidders' higher-order beliefs about their opponents . The seller only knows the mean of the marginal distribution of each bidder's valuation and the range, and an adversarial nature chooses the worst-case distribution within this ambiguity set. We find that a second-price auction with an optimal, random reserve price obtains the optimal revenue guarantee within a broad class of mechanisms that include all the standard auction formats . We find that as the number of bidders grows large, the seller's optimal reserve price converges in probability to a non-binding reserve price .
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sets a reserve price in a second price auction
sells a single good to multiple bidders
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, as well as bidders' higher-order beliefs about their opponents
R
use a dual characterization to solve for this distribution
find that a second-price auction with an optimal, random reserve price obtains the optimal revenue guarantee within a broad class of mechanisms that include all the standard auction formats
R
the
as the number of bidders grows large, the
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tends to be low and converges to zero in probability as the number of bidders increases
converges in probability to a non-binding reserve price