Blind portfolios' auctions in two-rounds (Q2103523)
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scientific article; zbMATH DE number 7632783
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Blind portfolios' auctions in two-rounds |
scientific article; zbMATH DE number 7632783 |
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Blind portfolios' auctions in two-rounds (English)
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14 December 2022
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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.
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two-round auctions
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affiliated signals
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principal blind bidding
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