Correlation Robustly Optimal Auctions

We study the design of auction within the correlation-robust framework in which the auctioneer is assumed to have information only about marginal distributions, but does not know the correlation structure of the joint distribution. The performance of a mechanism is evaluated in the worst-case over the uncertainty of joint distributions that are consistent with the marginal distributions. For the two-bidder case, we characterize the Second Price Auction with Uniformly Distributed Reserves as a maxmin auction among dominant strategy incentive compatible (DSIC) and ex-post individually rational (EPIR) mechanisms under the robust-version regularity conditions. For the $N$-bidder ($N\ge 3$) case, we characterize the Second Price Auction with $Beta (\frac{1}{N-1},1)$ Distributed Reserves as a maxmin auction among exclusive (a bidder whose bid is not the highest will never be allocated) DSIC and EPIR mechanisms under the general robust-version regularity conditions (I).