Tianyu Ma 马天宇

with Frank Riedel

Short abstract. We study first-price sealed-bid auctions in which bidders, after observing their own valuations, are uncertain about opponents’ valuation distributions and have smooth ambiguity preferences. We characterize the unique non-decreasing symmetric equilibrium. Bids increase in ambiguity aversion, lie between the Bayesian benchmarks generated by the least and most competitive candidate priors, and converge to the maxmin benchmark. Under constant relative ambiguity aversion, the bidding function is explicit. The first-price auction can yield higher revenue than the second-price auction under strong ambiguity aversion, while bidders’ preferred format depends on their ambiguity attitudes.

Short abstract. We study ambiguous contracts in a finite moral-hazard model with an \(\alpha\)-MEU agent. For \(\alpha < 1\), consistency is not without loss of generality: inconsistent payment sets may strictly improve the principal’s payoff, so consistency becomes a substantive credibility restriction. Under consistency, we obtain sharp implementability thresholds, show that the single-outcome-payment characterization generally fails for \(\alpha \in (0,1)\), and prove that any consistent incentive-compatible ambiguous contract can be reduced to at most \(n-1\) payment functions.