英文标题：
《Securities Lending Strategies: Exclusive Valuations and Auction Bids》
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作者：
Ravi Kashyap
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最新提交年份：
2019
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英文摘要：
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. We illustrate conditions under which our alternative weighting scheme converges faster to the true valuation when compared to the minimum variance weighting. This weighting scheme is applicable in any situation where multiple forecasts are made and we need a methodology to combine them. Our valuations 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.
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中文摘要：
我们从证券借贷的角度，在不同的假设下得出金融工具组合的估值，并展示了一个收敛于真实估值的加权方案。我们举例说明了与最小方差加权相比，我们的替代加权方案更快地收敛到真实估值的条件。这种加权方案适用于任何情况，其中有多个预测，我们需要一种方法将它们结合起来。我们的估值有助于得出独家拍卖的投标策略，或设计适当的拍卖机制，取决于参与者所处的围栏的哪一侧（利息是为了获得使用投资组合进行股票贷款的权利，比如贷款台，还是为了从投资组合中获得额外收入，比如从只做多的资产管理公司的角度）。最后，我们进行模拟，为估价集和对应于不同拍卖设置的各种竞价策略建立数值示例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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