Risk aversion in first-price security-bid auctions

We study how risk aversion affects equilibrium bidding strategies in a first-price security-bid auction. We show that if the bidder's expected utility is concave and their marginal expected utility decreases as the degree of risk aversion increases – conditions that are shown to be satisfied under some conditions for four prominent securities (cash, equity, debt, and call option) –, the increase in the degree of risk aversion leads to lower bids in equilibrium.