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Intermediated blind portfolio auctions / Michael Padilla in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Titre : Intermediated blind portfolio auctions Type de document : texte imprimé Auteurs : Michael Padilla, Auteur ; Benjamin Van Roy, Auteur Année de publication : 2012 Article en page(s) : pp.1747-1760 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Games–group  decisions  Bidding–auctions  Information  systems  IT  policy  and  management  Electronic  commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales 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 more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...] [article] Intermediated blind portfolio auctions [texte imprimé] / Michael Padilla, Auteur ; Benjamin Van Roy, Auteur . - 2012 . - pp.1747-1760. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Mots-clés : Finance  Games–group  decisions  Bidding–auctions  Information  systems  IT  policy  and  management  Electronic  commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales 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 more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...]