University of Mannheim

About: University of Mannheim is a education organization based out in Mannheim, Germany. It is known for research contribution in the topics: Population & European union. The organization has 4448 authors who have published 12918 publications receiving 446557 citations. The organization is also known as: Uni Mannheim & UMA.

Optimal Basket Liquidation for CARA Investors is Deterministic

Abstract: We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk aversion (CARA) and that the asset prices are given by a very general continuous-time, multiasset price impact model. Our main result is that (perhaps surprisingly) the investor does no worse if he narrows his search to deterministic strategies. In the case where the asset prices are given by an extension of the nonlinear price impact model of Almgren [(2003) Applied Mathematical Finance, 10, pp. 1–18], we characterize the unique optimal strategy via the solution of a Hamilton equation and the value function via a nonlinear partial differential equation with singular initial condition.

Firm-hosted online brand communities and new product success

Abstract: Many firms use online brand communities to support the launch of their new products. This study proposes a typology of firm-hosted online brand communities and examines whether such a classification system can improve predictions of new product success. A cross-industry analysis of 81 firm-hosted online brand communities shows that these communities reflect three archetypes. A subsequent survey of 170 community-hosting firms in the consumer durable goods industry reveals that the three types of communities are not equally important for new product success. Moreover, one archetype generally underperforms the other two as a new product support mechanism. Overall, the results demonstrate that firm-hosted online brand communities can be a predictor of new product success.

Bid costs and endogenous bid caps

Abstract: We study contests where several privately informed agents bid for a price. All bidders bear a cost of bidding that is an increasing function of their bids, and, moreover, bids may be capped. We show that, regardless of the number of bidders, if agents have linear or concave cost functions then setting a bid cap is not profitable for a designer who wishes to maximize the average bid. On the other hand, if agents have convex cost functions (i.e. an increasing marginal cost) then affectively capping the bids is profitable for a designer facing a sufficiently large number of bidders.

Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation

Abstract: This paper investigates the effect of fund managers' performance evaluation on their asset allocation decisions. We derive optimal contracts for delegated portfolio management and show that they always contain relative performance elements. We then show that this biases fund managers to deviate from return-maximising portfolio allocations and follow those of their benchmark (herding). In many cases the trustees of the fund who employ the fund manager prefer such a policy. We also show that fund managers in some situations ignore their own superior information and "go with the flow" in order to reduce deviations from their benchmark. We conclude that incentive provisions for portfolio managers are an important factor in their asset allocation decisions.