TY - GEN
T1 - Privacy-preserving portfolio pricing
AU - Asharov, Gilad
AU - Balch, Tucker
AU - Polychroniadou, Antigoni
N1 - Publisher Copyright: © 2021 ACM.
PY - 2021/11/3
Y1 - 2021/11/3
N2 - Investment banks offer the service of purchasing an entire portfolio from a client in a single transaction. The transaction enables the client to remove unwanted assets from their books, and provides immediate cash to be used in other investments. The bank usually offers a price that is slightly lower than the market price, therefore potentially gaining in this transaction when selling its content later in the market, or by internalizing the portfolio. Even though liquidating the portfolio is advantageous for the client, they are concerned about information regarding their strategies or holdings "leaking"and they would also like to be able to "shop"the portfolio to multiple banks. The current industry practice calls for the client to provide a summarized description of the portfolio without full details of the constituents, leading to imprecise pricing by the banks. We propose a new way for pricing portfolios by adapting secure computation to this domain. Our approach allows the client to maintain secrecy regarding the constituents of the portfolio, while enabling the bank to provide a fair price. We study several metrics for pricing portfolios and provide a suite of two-party protocols for computing those metrics, which are all provably secure. We test our protocols and show their scalability experimentally. We believe that this privacy-preserving pricing method offers the potential to transform the practice of portfolio pricing.
AB - Investment banks offer the service of purchasing an entire portfolio from a client in a single transaction. The transaction enables the client to remove unwanted assets from their books, and provides immediate cash to be used in other investments. The bank usually offers a price that is slightly lower than the market price, therefore potentially gaining in this transaction when selling its content later in the market, or by internalizing the portfolio. Even though liquidating the portfolio is advantageous for the client, they are concerned about information regarding their strategies or holdings "leaking"and they would also like to be able to "shop"the portfolio to multiple banks. The current industry practice calls for the client to provide a summarized description of the portfolio without full details of the constituents, leading to imprecise pricing by the banks. We propose a new way for pricing portfolios by adapting secure computation to this domain. Our approach allows the client to maintain secrecy regarding the constituents of the portfolio, while enabling the bank to provide a fair price. We study several metrics for pricing portfolios and provide a suite of two-party protocols for computing those metrics, which are all provably secure. We test our protocols and show their scalability experimentally. We believe that this privacy-preserving pricing method offers the potential to transform the practice of portfolio pricing.
KW - portfolio pricing
KW - secure computation
UR - http://www.scopus.com/inward/record.url?scp=85130543929&partnerID=8YFLogxK
U2 - 10.1145/3490354.3494400
DO - 10.1145/3490354.3494400
M3 - منشور من مؤتمر
T3 - ICAIF 2021 - 2nd ACM International Conference on AI in Finance
BT - ICAIF 2021 - 2nd ACM International Conference on AI in Finance
T2 - 2nd ACM International Conference on AI in Finance, ICAIF 2021
Y2 - 3 November 2021 through 5 November 2021
ER -