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Blind portfolios’ auctions in two-rounds
Annals of Finance Pub Date : 2021-04-12 , DOI: 10.1007/s10436-021-00386-4
Lamprini Zarpala , Dimitris Voliotis

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.



中文翻译:

两轮盲投资组合拍卖

本文提出了投资组合执行的两阶段密封竞标模型。资产经理将证券投资组合拍卖给一组不了解有关单个证券的详细信息的经纪人。我们证明了我们的机制可以降低资产管理人的执行成本,并可以减轻参与经纪人的“赢家的诅咒”。

更新日期:2021-04-12
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