两轮盲目投资组合拍卖

Microeconomics: Production Pub Date : 2020-07-28 DOI:10.2139/ssrn.3662384

Lamprini Zarpala, Dimitris Voliotis

{"title":"两轮盲目投资组合拍卖","authors":"Lamprini Zarpala, Dimitris Voliotis","doi":"10.2139/ssrn.3662384","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":18516,"journal":{"name":"Microeconomics: Production","volume":"29 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Blind Portfolios’ Auctions in Two-Rounds\",\"authors\":\"Lamprini Zarpala, Dimitris Voliotis\",\"doi\":\"10.2139/ssrn.3662384\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":18516,\"journal\":{\"name\":\"Microeconomics: Production\",\"volume\":\"29 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-07-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Microeconomics: Production\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3662384\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Microeconomics: Production","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3662384","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 2

摘要

本文提出了一个盲投资组合执行的两阶段密封投标模型。资产管理公司将一揽子证券拍卖给一组不了解单个证券具体细节的经纪人。我们证明了我们的机制降低了资产管理公司的执行成本，并消除了参与经纪商的赢家诅咒。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Microeconomics: Production

自引率

0.00%

发文量

期刊最新文献

Pricing the Pharmaceuticals When the Ability to Pay Differs: Taking Vertical Equity Seriously Dual Role Platforms and Search Order Distortion Monopoly, Product Quality and Information Disclosure Production Approach Markup Estimators Often Measure Input Wedges Successful, but not Too Much: Managing Platform Complementors in the Presence of Network Effects