University of Passau

About: University of Passau is a education organization based out in Passau, Bayern, Germany. It is known for research contribution in the topics: Computer science & Context (language use). The organization has 1543 authors who have published 4763 publications receiving 93338 citations.

A New Family of Equity Style Indices and Mutual Fund Performance: Do Liquidity and Idiosyncratic Risk Matter?

Abstract: We propose and test novel multifactor models of daily mutual fund performance. To this aim, we set up equity style indices and derive risk factors, which nest the established Fama and French (1992) and Carhart (1997) factors. We add two additional risk factors, namely idiosyncratic risk and Amihud (2002) liquidity. Our sample contains 528 actively managed mutual funds with European stock market focus during 2002 to 2009. Model estimation reveals that - while market excess return and size appear significant for the cross-section of all funds - the remainder factors explain the performance of subsets of funds. About one third of the funds exhibit significant factor sensitivities not only with respect to valuation or momentum, but also with respect to liquidity or idiosyncratic risk. No single risk factor is dominated and hence our six factor model may serve as a valid performance benchmark. In a four factor model setting, the Carhart model and a model with valuation replaced by liquidity perform best. Our results remain stable under various robustness checks. We further document that managers on average prefer liquid stocks, show no aggregate idiosyncratic risk preference and deliver results that are consistent with equilibrium models of fund performance.

From Rebels to Rulers and Legislators: The Political Transformation of the Free Aceh Movement (GAM) in Indonesia

Abstract: On 15 August 2005, when the Republic of Indonesia and the Free Aceh Movement (Gerakan Aceh Merdeka, GAM) signed the Memorandum of Understanding (MoU) in Helsinki, Finland, it was considered yet another uncertain attempt at putting an end to Indonesia’s thirty years of conflict in its westernmost province, Aceh. After a historically unprecedented reconstruction process that followed the tsunami of December 2004 and two orderly elections in 2006/2007 and 2009, Aceh’s peace process is not only still on track, but widely considered a role model for ending protracted civil wars by means of political participation and autonomy regulations. This article reviews past developments that have led to the reconfiguration of Aceh’s political landscape and seeks to illustrate the most recent developments in GAM’s transformation from an independence movement to an Indonesian local political party.

Stochastic optimization approach for the car placement problem in ridesharing systems

Abstract: With the increasing fuel prices and the pressure towards greener modes of transportation, ridesharing has emerged as an alternative to private car ownership and public transportation. In this paper, we focus on a common destination ridesharing system which is of interest in large organizations such as companies and government offices. Particularly, such organizations are looking at using company owned vehicles to offer a ridesharing service by which employees carpool to work thus leading to several benefits that include decreasing pressure on on-campus parking spaces, lowering localized on-campus congestion, in addition to offering a greener transportation mode while lowering transportation costs for employees. Based on discussions with our industry partners, optimizing the distribution of limited number of company vehicles while insuring robustness against unlikely vehicle unavailability is of critical importance. Thus in this paper, we present a stochastic mixed integer programming model to optimize the allocation of shared vehicles to employees while taking into account the unforeseen event of vehicle unavailability which would require some participants to take own vehicles or rerouting of existing vehicles. Since solving the proposed model to optimality is computationally challenging for problems of large sizes, we also propose a heuristic that is capable of finding good quality solutions in limited computational time. The proposed model and heuristic are tested on several instances of varying sizes showing the computational performance. Finally, a test case based on the city of Rome, Italy is presented and insights related to vehicle distribution and travel time savings are discussed.

Self-Improving System Integration - Status and Challenges after Five Years of SISSY

Abstract: The self-improving system integration (SISSY) initiative has emerged in recent years in response to a systems engineering trend towards the organisation of open, interconnected systems integrating a large set of heterogeneous and autonomous subsystems. Based on the idea to equip subsystems with capabilities to assess and maintain their own integration status within the overall system composition, a variety of concepts, techniques, and contributions have been proposed and fruitfully discussed at the particular events of the underlying workshop series. In this article, we summarise and categorise these research efforts and derive a roadmap towards full-scale SISSY systems.

A Survey of Models and Design Methods for Self-organizing Networked Systems

Abstract: Self-organization, whereby through purely local interactions, global order and structure emerge, is studied broadly across many fields of science, economics, and engineering. We review several existing methods and modeling techniques used to understand self-organization in a general manner. We then present implementation concepts and case studies for applying these principles for the design and deployment of robust self-organizing networked systems.