Blind portfolios' auctions in two-rounds (Q2103523)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7632783
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Blind portfolios' auctions in two-rounds |
scientific article; zbMATH DE number 7632783 |
Statements
Blind portfolios' auctions in two-rounds (English)
0 references
14 December 2022
0 references
This paper proposes a two-stage sealed-bid model for the execution of portfolios. More precisely, it is shown that the mechanism performs better than first-price auction, since information release for the losing bids at the interim can further lower costs for the asset manager. Section 2 introduces concepts and notation used in the model and market's mechanism. Section 3 derives the intuitive form for the conditions that enable the equilibrium analysis.
0 references
two-round auctions
0 references
affiliated signals
0 references
principal blind bidding
0 references
0.779048502445221
0 references
0.7781198024749756
0 references
0.736707329750061
0 references
0.730890691280365
0 references
