Optimal pricing by a risk-averse seller

Authors: 
Tomer Siedner
Abstract: 

We consider the basic setup of one seller, one buyer, and one good, where the seller is risk averse, and characterize 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.

Date: 
May, 2019
Number: 
725