Skip to main content
SpringerLink
Log in

Blind portfolios’ auctions in two-rounds

  • Research Article
  • Published:
Annals of Finance Aims and scope Submit manuscript

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Fig. 1

Similar content being viewed by others

Notes

  1. For instance, in ICE bonds’ portfolios the investment managers auction a portfolio of bonds on all-or-nothing basis to one or multiple bidders in a discrete, pre-determined period

  2. Without loss of generality we assume no entry costs for participating brokers.

References

  • Day, R., Milgrom, P.: Core-selecting package auctions. Int. J. Game. Theor. 36, 393–407 (2008)

    Article  Google Scholar 

  • Forsythe, R., Isaac, R.M., Palfrey, T.R.: Theories and Tests of Blind Bidding in Sealed-bid auctions. Rand. J. Econ. 20(2), 214–238 (1989)

  • Giannikos C, Suen TS (2007a) Estimating two structural spread models for trading blind principal bids. In: Eur. Financ. Manag., inproceedings, vol White pape

  • Giannikos, C., Suen, T.S .: Pricing determinants of blind principal bidding and liquidity provider behavior. In: Eur. Financ. Manag. Meet., White Paper (2007b)

  • Giannikos, C., Guirguis, H., Suen, T.S.: Modelling the blind principal bid basket trading cost. Eur. Financ. Manag. 18(2), 271–302 (2012)

    Article  Google Scholar 

  • Kavajecz, K.A., Keim, D.B.: Packaging liquidity: blind auctions and transaction efficiencies. J. Financ. Quant. Anal. 40(3), 465–492 (2005)

    Article  Google Scholar 

  • Milgrom, P., Stokey, N.: Information, trade and common knowledge. J. Econ. Theor. 26(1), 17–27 (1982)

    Article  Google Scholar 

  • Milgrom, P.R., Weber, R.J.: A theory of auctions and competitive bidding. Econometrica 50(5), 1089–1122 (1982)

    Article  Google Scholar 

  • Padilla, M., Van Roy, B.: Intermediated blind portfolio auctions. Manag. Sci. 58(9), 1747–1760 (2012)

    Article  Google Scholar 

  • Perry, M., Wolfstetter, E., Zamir, S.: A sealed-bid auction that matches the english auction. Games Econ Behav 33(2), 265–273 (2000)

    Article  Google Scholar 

Download references

Acknowledgements

The authors gratefully acknowledge Prof. Dimitrios P. Tsomocos (Oxford University) for his helpful comments on the manuscript.

Author information

Authors and Affiliations

  1. Dept. of Banking & Financial Management, University of Piraeus, 80, Karaoli & Dimitriou Str., Piraeus, 18534 GR, Pireas, Greece

    Lamprini Zarpala & Dimitris Voliotis

Authors
  1. Lamprini Zarpala
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Dimitris Voliotis
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Lamprini Zarpala.

Additional information

Publisher's Note

Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Zarpala, L., Voliotis, D. Blind portfolios’ auctions in two-rounds. Ann Finance 18, 545–552 (2022). https://doi.org/10.1007/s10436-021-00386-4

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10436-021-00386-4

Keywords

JEL Classification

Search

Navigation