On the competitive resolution of trading uncertainty (Q1112711)

We present a model in which sellers must set prices in the face of uncertain demand. Demand is realized sequentially and sellers who set low prices sell before those who set high prices. Sellers who set high prices sell only when the realization of demand is high. In equilibrium the expected profit is the same for all the prices which are announced. We establish the existence of a unique equilibrium. It is also shown that the equilibrium allocation is a solution to a well defined planner problem (Pareto efficiency) and to a special monopoly problem.