We propose a new objective for portfolio optimization: a weighted average of the probabilitiesof achieving specific target levels and avoiding specific loss levels. The objective is relatively easyto understand by non-experts, making it easier to calibrate to individuals' risk profiles....

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

We consider a stochastic tournament game in which each player is rewarded basedon her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank dependent, the equilibrium has a surprisingly explicit...

We introduce choice-matching, a class of mechanisms for eliciting honest responses to a multiplechoice question (MCQ), as might appear in a market research study, opinion poll or economicsexperiment. Under choice-matching, respondents are compensated through an auxiliary task, e.g.,a personal...

We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general...

We analyze a game in which a group of agents exert costly effort over time to make progress on a project. The project is completed once the cumulative efforts reach a pre-specified threshold, at which point it generates a lump sum payoff. We characterize a budget balanced mechanism that induces...