We study independent private-value all-pay auctions with risk-averse players. We show that: 1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. 2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. 3) Players' expected utilities in an all-pay auction are lower than in a firstprice auction. We also use perturbation analysis to calculate explicit approximations of the equilibrium strategies of risk-averse players and the seller's expected revenue. In particular, we show that in all-pay auctions the seller's expected payoff in the risk-averse case may be either higher or lower than in the risk neutral case.
For example, REF studies symmetric equilibria in all-pay auctions with a homogenous population of risk-averse players.
All-pay auctions with risk-averse players
International Journal of Game Theory
Computer Science Mathematics