Download This PaperBlind Portfolios’ Auctions in Two-Rounds
Zarpala, L., Voliotis, D. Blind portfolios’ auctions in two-rounds. Ann Finance (2021). https://doi.org/10.1007/s10436-021-00386-4
14 Pages Posted: 18 Sep 2020 Last revised: 16 Nov 2021
Date Written: March 12, 2021
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
Keywords: two-round auctions, affiliated signals, blind portfolios
JEL Classification: D44, D47, D53, G10
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