Blind portfolios’ auctions in two-rounds

Lamprini Zarpala and Dimitrios Voliotis ()

Annals of Finance, 2022, vol. 18, issue 4, No 5, 545-552

Abstract: 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; Pricipal blind bidding (search for similar items in EconPapers)
JEL-codes: D44 D47 D53 G10 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10436-021-00386-4

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