arXiv Open Access 2022

A core-selecting auction for portfolio's packages

Lamprirni Zarpala Dimitris Voliotis

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Abstrak

We introduce the "local-global" approach for a divisible portfolio and perform an equilibrium analysis for two variants of core-selecting auctions. Our main novelty is extending the Nearest-VCG pricing rule in a dynamic two-round setup, mitigating bidders' free-riding incentives and further reducing the sellers' costs. The two-round setup admits an information-revelation mechanism that may offset the "winner's curse", and it is in accord with the existing iterative procedure of combinatorial auctions. With portfolio trading becoming an increasingly important part of investment strategies, our mechanism contributes to increasing interest in portfolio auction protocols.

Topik & Kata Kunci

econ.TH

Penulis (2)

Lamprirni Zarpala

Dimitris Voliotis

Format Sitasi

APA MLA BibTeX

Zarpala, L., Voliotis, D. (2022). A core-selecting auction for portfolio's packages. https://arxiv.org/abs/2206.11516

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Informasi Jurnal

Tahun Terbit: 2022
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓