Intermediated Blind Portfolio Auctions PDF Download
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Author: Michael Thomas Padilla
Publisher: Stanford University
ISBN:
Category :
Languages : en
Pages : 86
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Book Description
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.
Author: Michael Thomas Padilla
Publisher: Stanford University
ISBN:
Category :
Languages : en
Pages : 86
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Book Description
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.
Author: Econometric Society. World Congress
Publisher: Cambridge University Press
ISBN: 0521871522
Category : Business & Economics
Languages : en
Pages : 431
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Book Description
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Author: Luiz Maurer
Publisher: World Bank Publications
ISBN: 082138824X
Category : Business & Economics
Languages : en
Pages : 181
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Book Description
Electricity-contract auctions have been getting increased attention as they have emerged as a successful mechanism to procure new generation capacity and. This book presents a comprehensive overview of international experiences in auction design and implementation.
Author: Anol Bhattacherjee
Publisher: CreateSpace
ISBN: 9781475146127
Category : Science
Languages : en
Pages : 156
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Book Description
This book is designed to introduce doctoral and graduate students to the process of conducting scientific research in the social sciences, business, education, public health, and related disciplines. It is a one-stop, comprehensive, and compact source for foundational concepts in behavioral research, and can serve as a stand-alone text or as a supplement to research readings in any doctoral seminar or research methods class. This book is currently used as a research text at universities on six continents and will shortly be available in nine different languages.
Author: Tim Roughgarden
Publisher: Cambridge University Press
ISBN: 1316781178
Category : Computers
Languages : en
Pages : 356
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Book Description
Computer science and economics have engaged in a lively interaction over the past fifteen years, resulting in the new field of algorithmic game theory. Many problems that are central to modern computer science, ranging from resource allocation in large networks to online advertising, involve interactions between multiple self-interested parties. Economics and game theory offer a host of useful models and definitions to reason about such problems. The flow of ideas also travels in the other direction, and concepts from computer science are increasingly important in economics. This book grew out of the author's Stanford University course on algorithmic game theory, and aims to give students and other newcomers a quick and accessible introduction to many of the most important concepts in the field. The book also includes case studies on online advertising, wireless spectrum auctions, kidney exchange, and network management.
Author: Thierry Foucault
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We compare the seller's expected revenue in a second price sealed bid auction for a single object in which bidders receive multidimensional signals. Bidders' valuations for the object depend on their signals and a signal observed privately by the seller. We show in various examples that the seller can be better off not revealing publicly his signal. Hence the linkage principle does not necessarily hold when bidders receive multidimensional signals.
Author: Paul Milgrom
Publisher: Cambridge University Press
ISBN: 1139449168
Category : Business & Economics
Languages : en
Pages : 378
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Book Description
This book provides a comprehensive introduction to modern auction theory and its important new applications. It is written by a leading economic theorist whose suggestions guided the creation of the new spectrum auction designs. Aimed at graduate students and professionals in economics, the book gives the most up-to-date treatments of both traditional theories of 'optimal auctions' and newer theories of multi-unit auctions and package auctions, and shows by example how these theories are used. The analysis explores the limitations of prominent older designs, such as the Vickrey auction design, and evaluates the practical responses to those limitations. It explores the tension between the traditional theory of auctions with a fixed set of bidders, in which the seller seeks to squeeze as much revenue as possible from the fixed set, and the theory of auctions with endogenous entry, in which bidder profits must be respected to encourage participation.
Author: Patrick Bolton
Publisher: MIT Press
ISBN: 9780262025768
Category : Business & Economics
Languages : en
Pages : 746
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Book Description
A comprehensive introduction to contract theory, emphasizing common themes and methodologies as well as applications in key areas. Despite the vast research literature on topics relating to contract theory, only a few of the field's core ideas are covered in microeconomics textbooks. This long-awaited book fills the need for a comprehensive textbook on contract theory suitable for use at the graduate and advanced undergraduate levels. It covers the areas of agency theory, information economics, and organization theory, highlighting common themes and methodologies and presenting the main ideas in an accessible way. It also presents many applications in all areas of economics, especially labor economics, industrial organization, and corporate finance. The book emphasizes applications rather than general theorems while providing self-contained, intuitive treatment of the simple models analyzed. In this way, it can also serve as a reference for researchers interested in building contract-theoretic models in applied contexts.The book covers all the major topics in contract theory taught in most graduate courses. It begins by discussing such basic ideas in incentive and information theory as screening, signaling, and moral hazard. Subsequent sections treat multilateral contracting with private information or hidden actions, covering auction theory, bilateral trade under private information, and the theory of the internal organization of firms; long-term contracts with private information or hidden actions; and incomplete contracts, the theory of ownership and control, and contracting with externalities. Each chapter ends with a guide to the relevant literature. Exercises appear in a separate chapter at the end of the book.
Author: David Neven
Publisher: Food & Agriculture Organization of the UN (FAO)
ISBN:
Category : Business & Economics
Languages : en
Pages : 92
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Book Description
Using sustainable food value chain development (SFVCD) approaches to reduce poverty presents both great opportunities and daunting challenges. SFVCD requires a systems approach to identifying root problems, innovative thinking to find effective solutions and broad-based partnerships to implement programmes that have an impact at scale. In practice, however, a misunderstanding of its fundamental nature can easily result in value-chain projects having limited or non-sustainable impact. Furthermore, development practitioners around the world are learning valuable lessons from both failures and successes, but many of these are not well disseminated. This new set of handbooks aims to address these gaps by providing practical guidance on SFVCD to a target audience of policy-makers, project designers and field practitioners. This first handbook provides a solid conceptual foundation on which to build the subsequent handbooks. It (1) clearly defines the concept of a sustainable food value chain; (2) presents and discusses a development paradigm that integrates the multidimensional concepts of sustainability and value added; (3) presents, discusses and illustrates ten principles that underlie SFVCD; and (4) discusses the potential and limitations of using the value-chain concept in food-systems development. By doing so, the handbook makes a strong case for placing SFVCD at the heart of any strategy aimed at reducing poverty and hunger in the long run.
Author: Thomas M. Cover
Publisher: John Wiley & Sons
ISBN: 1118585771
Category : Computers
Languages : en
Pages : 788
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Book Description
The latest edition of this classic is updated with new problem sets and material The Second Edition of this fundamental textbook maintains the book's tradition of clear, thought-provoking instruction. Readers are provided once again with an instructive mix of mathematics, physics, statistics, and information theory. All the essential topics in information theory are covered in detail, including entropy, data compression, channel capacity, rate distortion, network information theory, and hypothesis testing. The authors provide readers with a solid understanding of the underlying theory and applications. Problem sets and a telegraphic summary at the end of each chapter further assist readers. The historical notes that follow each chapter recap the main points. The Second Edition features: * Chapters reorganized to improve teaching * 200 new problems * New material on source coding, portfolio theory, and feedback capacity * Updated references Now current and enhanced, the Second Edition of Elements of Information Theory remains the ideal textbook for upper-level undergraduate and graduate courses in electrical engineering, statistics, and telecommunications.
