Blind Portfolios’ Auctions in Two-Rounds

Zarpala, Lamprini; Voliotis, Dimitris

doi:10.2139/ssrn.3662384

Blind 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: 14 Apr 2021

See all articles by Lamprini Zarpala

Lamprini Zarpala

University of Piraeus - Department of Banking and Financial Management

Dimitris Voliotis

University of Piraeus

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

Suggested Citation: Suggested Citation

Zarpala, Lamprini and Voliotis, Dimitris, Blind Portfolios’ Auctions in Two-Rounds (March 12, 2021). Zarpala, L., Voliotis, D. Blind portfolios’ auctions in two-rounds. Ann Finance (2021). https://doi.org/10.1007/s10436-021-00386-4, Available at SSRN: https://ssrn.com/abstract=3662384 or http://dx.doi.org/10.2139/ssrn.3662384