Blind portfolios' auctions in two-rounds

DOI10.1007/S10436-021-00386-4MaRDI QIDQ2103523zbMATH OpenOpenAlexFDO

Authors Lamprini Zarpala, Dimitris Voliotis

Publication date 14 December 2022

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-021-00386-4

zbMATH Keywords

affiliated signalsprincipal blind biddingtwo-round auctions

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Review text

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.

Recommendations

• A sealed-bid auction that matches the English auction
• Sequential second-price auctions with private budgets
• Indicative bidding and a theory of two-stage auctions
• A Theory of Auctions and Competitive Bidding
• scientific article; zbMATH DE number 3939034

Cites work

• A sealed-bid auction that matches the English auction
• A Theory of Auctions and Competitive Bidding
• Core-selecting package auctions
• Information, trade and common knowledge

Cited in

(1)

• Multi-recastable e-bidding game with dual-blindness

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