论文标题
双边交易中最佳的鲁棒机制
Optimal Robust Mechanism in Bilateral Trading
论文作者
论文摘要
我们考虑了具有私人价值的双边贸易模型。买方的价值和卖方的成本是共同分配的。真正的联合分布是设计师未知的，但是，该值的边际分布和成本是设计师已知的。设计师希望找到一种具有稳健性的贝叶斯激励措施的交易机制，该机制是兼容的，具有牢固的个人合理，预算平衡，并最大程度地利用了所有这些机制的贸易收益。我们将这种机制称为最佳鲁棒机制。我们在贝叶斯激励兼容机制（BIC）和主要策略机制（DSIC）之间建立了等效性。 我们表征给定机制的最差分布，并使用此表征来找到最佳的鲁棒机制。我们表明，有一种最佳的鲁棒机制，它是确定性的（张贴价格），占主导地位的策略激励兼容，并且是单独理性的。我们还得出了这种最佳鲁棒机制的张贴价格的明确表达。我们还显示了从最佳鲁棒机制（Max-Min问题）中提高效率之间的等效性，并确保效率提高，如果设计师可以在观察到真正的关节分布（Min-Max问题）后选择该机制。
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value and the cost are known to the designer. The designer wants to find a trading mechanism that is robustly Bayesian incentive compatible, robustly individually rational, budget-balanced and maximizes the expected gains from trade over all such mechanisms. We refer to such a mechanism as an optimal robust mechanism. We establish equivalence between Bayesian incentive compatible mechanisms (BIC) and dominant strategy mechanisms (DSIC). We characterise the worst distribution for a given mechanism and use this characterisation to find an optimal robust mechanism. We show that there is an optimal robust mechanism that is deterministic (posted-price), dominant strategy incentive compatible, and ex-post individually rational. We also derive an explicit expression of the posted-price of such an optimal robust mechanism. We also show the equivalence between the efficiency gains from the optimal robust mechanism (max-min problem) and guaranteed efficiency gains if the designer could choose the mechanism after observing the true joint distribution (min-max problem).
