The objective is either to design an appropriate securities lending auction mechanismor to come up with a strategy for placing bids , depending on which side of the fence a participant sits . There are two pieces to this puzzle. One is the valuation of the portfolio being auctioned subject to the available information set. The other piece would be to come up with the best strategy from an auction perspective once a valuation has been obtained. We derive valuations under different assumptions and show a weighting scheme that converges to the true valuation. We extend auction theory results to be more applicable to financial securities and intermediaries. All the propositions are new results and they refer to existing results which are given as Lemmas without proof. Lastly, we run simulations to establish numerical examples for the set of valuations and for various bidding strategies corresponding to the different auction settings.
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. This valuation can be useful either to derive a bidding strategy for an exclusive auction or to design an appropriate auction mechanism , depending on which side of the fence a participant sits (whether the interest is to procure the rights to use a portfolio for making stock loans such as for a lending desk, or, to obtain additional revenue from a portfolio such as from the point of view of a long only asset management firm). Lastly, we run simulations to establish numerical examples for the set of valuations and for various bidding strategies corresponding to different auction settings.
R
The objective is either to
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. This valuation can be useful either to derive a bidding strategy for an exclusive auction or to
R
securities lending auction mechanismor to come up with a strategy for placing bids
auction mechanism
R
. There are two pieces to this puzzle. One is the valuation of the portfolio being auctioned subject to the available information set. The other piece would be to come up with the best strategy from an auction perspective once a valuation has been obtained. We derive valuations under different assumptions and show a weighting scheme that converges to the true valuation. We extend auction theory results to be more applicable to financial securities and intermediaries. All the propositions are new results and they refer to existing results which are given as Lemmas without proof.
(whether the interest is to procure the rights to use a portfolio for making stock loans such as for a lending desk, or, to obtain additional revenue from a portfolio such as from the point of view of a long only asset management firm).
D
the