Blind portfolios’ auctions in two-rounds

Lamprini Zarpala; Dimitris Voliotis

doi:10.1007/s10436-021-00386-4

Blind portfolios’ auctions in two-rounds

Lamprini Zarpala^*, Dimitris Voliotis

^*Corresponding author for this work

University of Piraeus

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	545-552
Journal	Annals of Finance
Volume	18
DOIs	https://doi.org/10.1007/s10436-021-00386-4
Publication status	Published - 12 Apr 2021
Externally published	Yes

Access to Document

10.1007/s10436-021-00386-4

Cite this

@article{0c46922f062443c8a67a7629edaac07b,

title = "Blind portfolios{\textquoteright} auctions in two-rounds",

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{\textquoteright}s curse” for participating brokers.",

author = "Lamprini Zarpala and Dimitris Voliotis",

year = "2021",

month = apr,

day = "12",

doi = "10.1007/s10436-021-00386-4",

language = "English",

volume = "18",

pages = "545--552",

journal = "Annals of Finance",

issn = "1614-2446",

publisher = "Springer Verlag",

}

TY - JOUR

T1 - Blind portfolios’ auctions in two-rounds

AU - Zarpala, Lamprini

AU - Voliotis, Dimitris

PY - 2021/4/12

Y1 - 2021/4/12

N2 - 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.

AB - 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.

U2 - 10.1007/s10436-021-00386-4

DO - 10.1007/s10436-021-00386-4

M3 - Article

SN - 1614-2446

VL - 18

SP - 545

EP - 552

JO - Annals of Finance

JF - Annals of Finance

ER -

Blind portfolios’ auctions in two-rounds

Abstract

Access to Document

Fingerprint

Cite this