Risk-Sensitive Lowest Unique Bid Auctions

A multi-item auction is a situation in which one or several auctioneers propose a set of items and bidders exert effort for each item in an attempt to win a prize or an item. Multi-item lowest unique bid auction have been proposed recently in online platforms. Decision to participate or not is costly and left to the bidders. However, finding an optimal bidding strategy is not a trivial task because of incomplete information, heterogeneous valuation and budget restrictions. In this paper we examine the attitude of the bidders towards the risk. In contrast to risk-neutral agents who bids very small values, the cumulative distribution and the bidding support of risk-sensitive agents are more distributed.