Blind portfolios' auctions in two-rounds (Q2103523)

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.