Blind Portfolios’ Auctions in Two-Rounds

This paper proposes a two-stage sealed-bid model for the execution of blind portfolios. An asset manager auctions a package of securities to a set of brokers who are unaware of the specific details about individual securities. We prove that our mechanism reduces the costs of execution for the asset manager and eliminates the winner's curse for participating brokers

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Year of publication:	2020
Authors:	Zarpala, Lamprini
Other Persons:	Voliotis, Dimitris (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Auktionstheorie \| Auction theory \| Portfolio-Management \| Portfolio selection \| Informationssystem \| Information system \| Wertpapierhandel \| Securities trading

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 28, 2020 erstellt
Other identifiers:	10.2139/ssrn.3662384 [DOI]
Classification:	D44 - Auctions ; d47 ; D53 - Financial Markets ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012827080