两轮盲投资组合拍卖

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2021-04-12 DOI:10.1007/s10436-021-00386-4

Lamprini Zarpala, Dimitris Voliotis

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引用次数: 0

摘要

本文提出了一个用于投资组合执行的两阶段密封投标模型。资产管理公司将证券组合拍卖给一组不知道个别证券具体细节的经纪人。我们证明，我们的机制可以降低资产管理人的执行成本，并可能减轻参与经纪人的“赢家诅咒”。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Blind portfolios’ auctions in two-rounds

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.

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance