The Wharton School

In 1881, American entrepreneur and industrialist Joseph Wharton established the world’s first collegiate school of business at the University of Pennsylvania — a radical idea that revolutionized both business practice and higher education.

Since then, the Wharton School has continued innovating to meet mounting global demand for new ideas, deeper insights, and  transformative leadership. We blaze trails, from the nation’s first collegiate center for entrepreneurship in 1973 to our latest research centers in alternative investments and neuroscience.

Wharton's faculty members generate the intellectual innovations that fuel business growth around the world. Actively engaged with the leading global companies, governments, and non-profit organizations, they represent the world's most comprehensive source of business knowledge.

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Start date: 1960 × End date: 1999 ×

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Now showing 1 - 10 of 572
  • Publication
    Investment Decisions Depend on Portfolio Disclosures
    (1999) Musto, David K
    A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for “window dressing” than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross-sectional comparisons locate the most intense rebalancing in the worst recent performers.
  • Publication
    A Stochastic Model of Fragmentation in Dynamic Storage Allocation
    (1985-05-01) Coffman, E. G; Kadota, T. T; Shepp, Larry A
    We study a model of dynamic storage allocation in which requests for single units of memory arrive in a Poisson stream at rate λ and are accommodated by the first available location found in a linear scan of memory. Immediately after this first-fit assignment, an occupied location commences an exponential delay with rate parameter μ, after which the location again becomes available. The set of occupied locations (identified by their numbers) at time t forms a random subset St of {1,2, . . .}. The extent of the fragmentation in St, i.e. the alternating holes and occupied regions of memory, is measured by (St) - |St |. In equilibrium, the number of occupied locations, |S|, is known to be Poisson distributed with mean ρ = λ/μ. We obtain an explicit formula for the stationary distribution of max (S), the last occupied location, and by independent arguments we show that (E max (S) - E|S|)/E|S| → 0 as the traffic intensity ρ → ∞. Moreover, we verify numerically that for any ρ the expected number of wasted locations in equilibrium is never more than 1/3 the expected number of occupied locations. Our model applies to studies of fragmentation in paged computer systems, and to containerization problems in industrial storage applications. Finally, our model can be regarded as a simple concrete model of interacting particles [Adv. Math., 5 (1970), pp. 246–290].
  • Publication
    On Skew Brownian Motion
    (1981) Harrison, J. M; Shepp, Larry A
    We consider the stochastic equation X(t) = W(t) + βlX0(t), where W is a standard Wiener process and lX0(⋅) is the local time at zero of the unknown process X. There is a unique solution X (and it is adapted to the fields of W) if |β| ≤ 1, but no solutions exist if |β| > 1. In the former case, setting α = (β + 1)/2, the unique solution X is distributed as a skew Brownian motion with parameter α. This is a diffusion obtained from standard Wiener process by independently altering the signs of the excursions away from zero, each excursion being positive with probability α and negative with probability 1−α. Finally, we show that skew Brownian motion is the weak limit (as n→∞) of n−1/2S[nt], where Sn is a random walk with exceptional behavior at the origin.
  • Publication
    Diffusion, Cell Mobility, and Bandlimited Functions
    (1984-12-01) Landau, H. J; Logan, B. F; Shepp, Larry A; Bauman, N.
    The mechanism by which leukocytes steer toward a chemical attractant is not fully resolved. Experimental data suggest that these cells detect differences in concentration of chemoattractant over their surface and "walk" up the gradient. The problem has been considered theoretically only in stationary media, where the distribution of attractant is determined solely by diffusion. Experimentally, bulk flow has been allowed only unintentionally. Since bulk flow is characteristic of real systems, we examine a simple two-dimensional model incorporating both diffusion and an additional drift. The latter problem leads to an integral equation which is central also in the study of weighted Hilbert spaces of bandlimited functions. We find asymptotic expressions for the required solution by a Wiener-Hopf method adapted to a finite interval. We conclude that, without drift, the concentration does not vary detectably around the cell, but that drift inceases this variation substantially. Thus over model suggests that drift may play an important role in the cell's chemotactic response.
  • Publication
    Strategies for Product Variety: Lessons from the Auto Industry
    (1995) Fisher, Marshall L; Jain, Anjani; MacDuffie, John Paul
  • Publication
    Communication and Uncertainty in Concurrent Engineering
    (1998-08-01) Loch, Christoph. H; Terwiesch, Christian
    We present an analytical model of concurrent engineering, where an upstream and a down-stream task are overlapped to minimize time-to-market. The gain from overlapping activities must be weighed against the delay from rework that results from proceeding in parallel based on preliminary information. Communication reduces the negative effect of rework at the expense of communication time. We derive the optimal levels of concurrency combined with communication, and we analyze how these two decisions interact in the presence of uncertainty and dependence. Uncertainty is modeled via the average rate of engineering changes, and its reduction via the change of the modification rate over time. In addition, we model dependence by the impact the modifications impose on the downstream task. The model yields three main results. First, we present a dynamic decision rule for determining the optimal meeting schedule. The optimal meeting frequency follows the frequency of engineering changes over time, and it increases with the levels of uncertainty and dependence. Second, we derive the optimal concurrency between activities when communication follows the optimal pattern described by our decision rule. Uncertainty and dependence make concurrency less attractive, reducing the optimal overlap. However, the speed of uncertainty reduction may increase or decrease optimal overlap. Third, choosing communication and concurrency separately prevents achieving the optimal time-to-market, resulting in a need for coordination.
  • Publication
    Brief vs. comprehensive descriptions in measuring intentions to purchase
    (1971-02-01) Armstrong, J. Scott; Armstrong, J. Scott; Overton, Terry
    Introduction: In forecasting demand for expensive consumer goods, direct questioning of potential consumers about their future purchasing plans has had considerable predictive success [1, 2, 4]. Any attempt to apply such "intention to purchase" methods to forecast demand for proposed products or services must determine some way to convey product information to the potential consumer [3]. Indeed, all the prospective consumer knows about the product or service is what he may infer from the information given to him by the researcher. This paper presents a study of the effect upon intention to purchase of this seemingly crucial element—the extent and type of description of the new service. How extensive must the description of the new service be in order to measure intention to purchase?
  • Publication
    The Economic Implications of Public Disability Insurance in the United States
    (1993) Danzon, Patricia. M
    A review of previous analyses of labor supply effects of Social Security Disability Insurance (DI) concludes that estimates of labor supply effects and net social costs are upward biased because they ignore interactions between DI and other insurances. A model of optimal insurance, postinjury accommodations, and labor supply shows that reduction in labor supply and increase in consumption when disabled do not necessarily imply moral hazard. Optimal postinjury accommodations vary inversely with firm size. The Americans with Disabilities Act will reduce wages and labor supply of healthy workers, particularly in small firms. Effects on labor supply of the disabled are ambiguous.
  • Publication
    Class of Mail Does Affect Response Rates to Mailed Questionnaires: Evidence from Meta-analysis
    (1990) Armstrong, J. Scott; Armstrong, J. Scott
    In contrast to the conclusions from traditional reviews, meta-analysis shows that certain types of postage have an important effect on return rates to mail surveys. In particular, US business reply postage should not be used in survey research.
  • Publication
    Asset Prices under Habit Formation and Catching Up with the Joneses
    (1990-05-01) Abel, Andrew B
    This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States.