Consider a ...rst price auction with n bidders whose valuations are independent draws of a random variable with distribution function F (v) supported on the interval [v; v]. Bidders are risk averse, i.e. maximize the expected utility of their monetary payo (surplus). Their utility function u over sure prospects (the von Neumann-Morgenstern utility function) is given by u(m) = m , where 0 < < 1