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arXiv · 2611.06644

Universal Nonexistence of Monotone Equilibrium in Multiunit Auctions with Risk Aversion

Wei He·Yeneng Sun·Hanping Xu
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Abstract

We establish universal nonexistence results for monotone pure-strategy equilibrium in multiunit auctions with risk-averse bidders. Fix any number of bidders greater than one and any profile of strictly increasing concave utilities, with at least one strictly risk-averse bidder. Under uniform pricing, for every supply of at least three units, we construct independent, full-support type distributions under which neither lowest-winning-bid nor highest-losing-bid pricing admits an admissible monotone equilibrium. Under discriminatory pricing, we construct a finite supply and independent, full-support type distributions that preclude monotone pure-strategy equilibrium. We extend these results to all-pay auctions and finite bid grids.

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Wei He, Yeneng Sun, Hanping Xu. 2026-11-04. Universal Nonexistence of Monotone Equilibrium in Multiunit Auctions with Risk Aversion. https://arxiv.org/abs/2611.06644

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