Portfolio delegation under short-selling constraints

In this paper we study delegated portfolio management when the manager's ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse manager's optimal effort is an increasing function of her share in the portfolio's return. This result affects the risk-averse investor's optimal contract decision. The first best, purely risk-sharing contract is proved to be suboptimal. Using numerical methods we show that the manager's share in the portfolio return is higher than the „rst best share. Additionally, this deviation is shown to be: (i) increasing in the manager's risk aversion and (ii) larger for tighter short-selling restrictions. When the constraint is relaxed the optimal contract converges towards the first best risk sharing contract.Third best effort, linear performance-adjusted contracts, short-selling constraints

Recommended Play and Correlated Equilibria: An Experimental Study

This study reports a laboratory experiment wherein subjects play a hawk-dove game. We try to implement a correlated equilibrium with payoffs outside the convex hull of Nash equilibrium payoffs by privately recommending play. We find that subjects are reluctant to follow certain recommendations. We are able to implement this correlated equilibrium, however, when subjects play against robots that always follow recommendations, including in a control treatment in which human subjects receive the robot "earnings." This indicates that the lack of mutual knowledge of conjectures, rather than social preferences, explains subjects' failure to play the suggested correlated equilibrium when facing other human players.Game Theory ; Experiments ; Coordination ; Common Knowledge

Axiom of Monotonicity: An Experimental Test

The Axiom of Monotonicity (AM) is a necessary condition for a number of expected utility representations, including those obtained by de Finetti (1930), von Neumann and Morgenstern (1944) and Savage (1954). The paper reports on experiments that directly test AM by eliminating strategic uncertainty, context, and peer effects. In this sterile and simple environment we do not observe AM violations under uncertainty but we do observe violations under ambiguity

On cost sharing in the provision of a binary and excludable public good

Jordi Massó acknowledges financial support from the Spanish Ministry of Economy and Competitiveness, through the Severo Ochoa Programme for Centers of Excellence in R&D (SEV-2011-0075) and FEDER grant ECO2008-04756 (Grupo Consilidado-C), and from the Generalitat de Catalunya, through the prize "ICREA Academia" for excellence in research and grant SGR2009-419. Antonio Nicolò's work is partially supported by the project "Intelligent preference reasoning for multi-agent decision making" (Univ. of Padova).Altres ajuts: FEDER/ECO2008-04756We study efficiency and fairness properties of the equal cost sharing with maximal participation (ECSMP) mechanism in the provision of a binary and excludable public good. According to the maximal welfare loss criterion, the ECSMP is optimal within the class of strategyproof, individually rational and no-deficit mechanisms only when there are two agents. In general the ECSMP mechanism is not optimal: we provide a class of mechanisms obtained by symmetric perturbations of ECSMP with strictly lower maximal welfare loss. We show that if one of two possible fairness conditions is additionally imposed, the ECSMP mechanism becomes optimal

A Three Dimensional Lattice of Ion Traps

We propose an ion trap configuration such that individual traps can be stacked together in a three dimensional simple cubic arrangement. The isolated trap as well as the extended array of ion traps are characterized for different locations in the lattice, illustrating the robustness of the lattice of traps concept. Ease in the addressing of ions at each lattice site, individually or simultaneously, makes this system naturally suitable for a number of experiments. Application of this trap to precision spectroscopy, quantum information processing and the study of few particle interacting system are discussed.Comment: 4 pages, 4 Figures. Fig 1 appears as a composite of 1a, 1b, 1c and 1d. Fig 2 appears as a composite of 2a, 2b and 2

Optical control of resonant light transmission for an atom-cavity system

We demonstrate the manipulation of transmitted light through an optical Fabry-Pérot cavity, built around a spectroscopy cell containing enriched rubidium vapor. Light resonant with the 87RbD2 (F=2,F=1) ↔F′ manifold is controlled by the transverse intersection of the cavity mode by another resonant light beam. The cavity transmission can be suppressed or enhanced depending on the coupling of atomic states due to the intersecting beams. The extreme manifestation of the cavity-mode control is the precipitous destruction (negative logic switching) or buildup (positive logic switching) of the transmitted light intensity on intersection of the transverse control beam with the cavity mode. Both the steady-state and transient responses are experimentally investigated. The mechanism behind the change in cavity transmission is discussed in brief