A Core-Selecting Auction for Portfolio’s Packages

25 Pages Posted: 22 Apr 2021 Last revised: 24 May 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: April 6, 2021

Abstract

We introduce the "local-global" approach for a divisible portfolio, and we perform an equilibrium analysis for two variants of core-selecting auctions. Our main novelty is extending the Nearest-VCG pricing rule in a dynamic two-round setup, mitigating bidders' free-riding incentives and further reducing the sellers' costs. The two-round setup admits an information-revelation mechanism that may offset the "winner's curse", and it is in accord with the existing iterative procedure of combinatorial auctions. With portfolio trading becoming an increasingly important part of investment strategies, our mechanism contributes to increasing interest in portfolio auction protocols.

Keywords: Package Auction, VCG Payments, Portfolio Trading

JEL Classification: D44, D47, G11

Suggested Citation

Zarpala, Lamprini and Voliotis, Dimitris, A Core-Selecting Auction for Portfolio’s Packages (April 6, 2021). Available at SSRN: https://ssrn.com/abstract=3820589 or http://dx.doi.org/10.2139/ssrn.3820589

Lamprini Zarpala (Contact Author)

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Dimitris Voliotis

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece
00302104142227 (Phone)

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