Intermediated blind portfolio auctions
Abstract/Contents
- Abstract
- As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves the sale of portfolios by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form of a first-price sealed-bid auction in which the seller engages a few potential brokers and provides limited information about the portfolio being sold. Uncertainty about the portfolio contents reduces bids, effectively increasing the transaction cost paid by the seller. We consider the use of a trusted intermediary or equivalent cryptographic protocol to reduce transaction costs. In particular, we propose a mechanism through which each party provides relevant private information to an intermediary who ultimately reveals only the portfolio contents and price paid, and only to the seller and winning broker. Through analysis of a game-theoretic model, we demonstrate substantial potential benefits to sellers. For example, under reasonable assumptions a seller can reduce expected transaction costs by as much as 10% under a broker valuation model that induces efficient allocations at equilibrium, and as much as 33% under one that does not. We also consider the effects of intermediation on broker payoffs and social welfare as well as its performance in the context of the second-price auction. In addition, we consider the two-stage game in which sellers have the choice of selecting intermediation or not and show that under certain reasonable modeling assumptions that all sellers will select intermediation at equilibrium.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2011 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Padilla, Michael Thomas |
|---|---|
| Associated with | Stanford University, Department of Electrical Engineering |
| Primary advisor | Van Roy, Benjamin |
| Thesis advisor | Van Roy, Benjamin |
| Thesis advisor | Goel, Ashish |
| Thesis advisor | Johari, Ramesh, 1976- |
| Advisor | Goel, Ashish |
| Advisor | Johari, Ramesh, 1976- |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Michael Thomas Padilla. |
|---|---|
| Note | Submitted to the Department of Electrical Engineering. |
| Thesis | Ph.D. Stanford University 2011 |
| Location | electronic resource |
Access conditions
- Copyright
- © 2011 by Michael Thomas Padilla
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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