Winner-Pays-Bid Auctions Minimize Variance
<|reference_start|>Winner-Pays-Bid Auctions Minimize Variance: Any social choice function (e.g the efficient allocation) can be implemented using different payment rules: first price, second price, all-pay, etc. All of these payment rules are guaranteed to have the same expected revenue by the revenue equivalence theorem, but have different distributions of revenue, leading to a question of which one is best. We prove that among all possible payment rules, winner-pays-bid minimizes the variance in revenue and, in fact, minimizes any convex risk measure.<|reference_end|>
@article{mcafee2024winner-pays-bid,
    title={Winner-Pays-Bid Auctions Minimize Variance},
    author={Preston McAfee, Renato Paes Leme, Balasubramanian Sivan, Sergei
  Vassilvitskii},
    journal={arXiv preprint arXiv:2403.04856},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.04856},
    primaryClass={cs.GT}
}