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Blind portfolios’ auctions in two-rounds

Author

Listed:
  • Lamprini Zarpala

    (University of Piraeus)

  • Dimitris Voliotis

    (University of Piraeus)

Abstract

This paper proposes a two-stage sealed-bid model for the execution of portfolios. An asset manager auctions a portfolio of securities to a set of brokers who are unaware of the specific details about individual securities. We prove that our mechanism may reduce the costs of execution for the asset manager and may mitigate the “winner’s curse” for participating brokers.

Suggested Citation

  • Lamprini Zarpala & Dimitris Voliotis, 2022. "Blind portfolios’ auctions in two-rounds," Annals of Finance, Springer, vol. 18(4), pages 545-552, December.
    • Handle: RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-021-00386-4
    DOI: 10.1007/s10436-021-00386-4
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    References listed on IDEAS

    as
    1. Christos Giannikos & Hany Guirguis & Tin Shan Suen, 2012. "Modelling the Blind Principal Bid Basket Trading Cost," European Financial Management, European Financial Management Association, vol. 18(2), pages 271-302, March.
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    4. Robert Day & Paul Milgrom, 2008. "Core-selecting package auctions," International Journal of Game Theory, Springer;Game Theory Society, vol. 36(3), pages 393-407, March.
    5. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    6. Perry, Motty & Wolfstetter, Elmar & Zamir, Shmuel, 2000. "A Sealed-Bid Auction That Matches the English Auction," Games and Economic Behavior, Elsevier, vol. 33(2), pages 265-273, November.
    7. Kavajecz, Kenneth A. & Keim, Donald B., 2005. "Packaging Liquidity: Blind Auctions and Transaction Efficiencies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(3), pages 465-492, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Two-round auctions; Affiliated signals; Pricipal blind bidding;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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