Optimal Pricing by a Risk-Averse Seller
We consider the basic setup of one seller, one buyer, and one good, where the seller is risk averse, and characterise the mechanism that maximizes the seller's expected utility. In contrast to the risk-neutral case, where a single deterministic price is optimal, we show that in the risk averse case the optimal mechanism consists of a continuum of lotteries.
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Last Updated Date : 03/11/2020