论文标题
投资组合包的核心选择拍卖
A core-selecting auction for portfolio's packages
论文作者
论文摘要
我们介绍了可分配投资组合的“局部全球”方法，并对两种核心选择拍卖的变体进行平衡分析。我们的主要新颖性是在动态的两轮设置中扩展最接近的VCG定价规则，减轻投标人的自由骑行激励措施，并进一步降低卖方的成本。两轮设置承认了一种可能抵消“获胜者的诅咒”的信息启示机制，并且符合组合拍卖的现有迭代程序。随着投资组合交易成为投资策略越来越重要的一部分，我们的机制有助于增加对投资组合拍卖协议的兴趣。
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.
