Michael J. Stutzer
of Colorado, Boulder
Office: 481 Business
Phone: (303) 492-4348
- PhD, Economics, 1981, University of Minnesota
- 2002-Present, Professor of
Finance, Leeds School of Business, University of Colorado, Boulder.
- 1997-2002, Professor of
College of Business,
of Iowa, Iowa City.
- 1988-1997, Associate
Professor of Finance, Carlson
School of Management,
of Minnesota, Minneapolis.
- 1979-1988, Economist and
Senior Economist, Federal Reserve Bank of Minneapolis.
Investing and the ICAPM”, Quantitative
Finance and Economics, (forthcoming)
and Risk Aversion of Funds With Benchmarks” (with F.
Douglas Foster), in Chen, Dunn, Golan, and Ullah, eds., Innovations in Info-Metrics: Information and
Information Processing in Cross-Disciplinary Perspective, Oxford University Press (forthcoming)
"Honest Hypothesis Testing:
A Parable”, Advances in Financial
Education, V.14, 2016.
"The Formula That Felled
Wall Street? An Instructor’s Guide to Default Modeling", Journal of Financial Education, V.40(1), 2014.
"Misperceptions of Long-Term
Investment Performance: Insights From An
Experiment" (with Sue Jung-Grant), Journal
of Behavioral Finance and Economics, V.3, No. 1, 2013.
"Optimal Hedging Via Large Deviations", Physica A, V.393, No. 15, 2013.
"Differences in Fund Trackers' Performance Rankings: A Mean-Variance
Perspective", Journal of Performance
Measurement, V.16(3), 2012.
"How Students Can Backtest Madoff's Claims
", Advances in Financial
Education, V.8(1), 2010.
"A Simple Parrondo Paradox ", The Mathematical Scientist,
"The Paradox of Diversification ", Journal of Investing ,
Vol.19(1), 2010. Listed by Institutional Investor Journals on its Most Frequently Read
"On Growth-Optimality vs. Security Against Underperformance ", in
MacLean, Thorp, and Ziemba, eds. The Kelly Capital Growth Investment
Criterion: Theory and Practice, World Scientific, 2010.
"Entropy-based Estimation Methods " (with Yuichi Kitamura), Encyclopedia
of Quantitative Finance, John Wiley, 2010.
"The Misuse of Expected Returns" (with Eric Hughson and Chris
Yung), Financial Analysts Journal, Nov/Dec.2006. Winner of Reader's
Choice Award and a Graham and Dodd Scroll Award.
"Asset Allocation Without Unobservable Parameters ", Financial
Analysts Journal, 2004. Reprinted in Horan, ed.,Private
Wealth: Advances in Wealth Management Practices, Research Foundation of the
CFA Institute, 2008.
"Portfolio Choice with Endogenous Utility: A Large Deviations
Approach", Journal of Econometrics, Vol.116, 2003, pp. 365-386.
Reprinted in MacLean, Thorp, and Ziemba, eds. The Kelly Capital Growth
Investment Criterion: Theory and Practice, World Scientific, 2009
"Fund Managers May Cause Their Benchmarks to be Priced 'Risks' ", Journal
of Investment Management, 2003. Reprinted in Fong, ed.,The
World of Risk Management, World Scientific Publishing, 2006.
"Optimal Asset Allocation For Endowments: A Large Deviations
Approach", in Satchell & Scowcraft, eds., Advances
in Portfolio Construction and Implementation, Butterworth-Heineman, 2003.
"Connections Between Entropic and Linear Projections in Asset Pricing
Estimation" (with Yuichi Kitamura), Journal of Econometrics, Vol.107,
"Improving Your Morningstar Ratings Using Options: A Comment", Journal
of Investing, Winter 2001.
"Simple Entropic Derivation of a Generalized Black-Scholes Model",
"A Simple Derivation of the Bond Immunization Formula", Finance Practice and Education, 2000.
"A Portfolio Performance Index", Financial Analysts Journal, Vol.
56, 2000 (May-June). Reprinted in Jankowski and Lawton, eds.,Investment Performance Measurement: Evaluating
and Presenting Results, CFA Institute, 2009. This was used for the Morningstar, Inc. International Global Star
Ratings of mutual funds.
"A Simple Nonparametric Approach to Bond Futures Option Pricing"
(with Muinul Chowdhury), Journal of Fixed Income, March 1999.
"An Information-Theoretic Alternative to Generalized Method of Moments
Estimation," (with Yuichi Kitamura), Econometrica,
v.65, July 1997.
"A Simple Nonparametric Approach to Derivative Security
Valuation," Journal of Finance, Vol. 51, Dec., 1996.
"A Graphical Exposition of Put Thetas," (with Gordon Alexander), Journal
of Futures Markets, Vol. 16, 1996.
"An Information Theoretic Index of Risk in Financial Markets,"
Chapter 16 in D. Berry, K. Chaloner, and J. Geweke,
editors, Bayesian Analysis in Statistics and Economics: Essays in Honor of
Arnold Zellner, Wiley Interscience,
"A Bayesian Approach to Diagnosis of Asset Pricing Models," Journal
of Econometrics, Vol. 68, August, 1995.
"A Theory of Mutual Formation and Moral Hazard: With Evidence from the
History of the Insurance Industry", (with Bruce Smith), Review of
Financial Studies, Vol. 8, no. 2, 1995.
"The Simple Analytics of Observed Discrimination in Credit
Markets", (with Paul Calem), Journal of Financial Intermediation,
Vol. 4, no. 3, 1995.
"Thermostatics in Financial Economics,"
In G. Heidbreder, editor Proceedings of the 13th
International Workshop on Maximum Entropy and Bayesian Methods of Statistical
Analysis, Kluwer Academic, 1994.
"The Statistical Mechanics of Asset Prices," In K.D. Elworthy, W.N. Everitt and E.B.
Lee, editors, Differential Equations, Dynamical Systems, and Control Theory,
Pure and Applied Mathematics Series, V.152 Marcel Dekker, 1993.
"Adverse Selection, Aggregate Uncertainty, and the Role for Mutual
Insurance Contracts" (with Bruce Smith), Journal of Business, Vol.
63, no. 4, 1990.
"Adverse Selection and Mutuality: The Case of the Farm Credit
System," (with Bruce Smith), Journal of Financial Intermediation,
Vol. 1, 1990
"Credit Rationing and Government Loan Programs: A Welfare
Analysis," (with Bruce Smith), Journal of the American Real Estate and
Urban Economic Association, Summer, 1989.
"Variable Rate Loans and Financed Activities: The Case of Adjustable
Rate Mortgages" (with Will Roberds), Journal of Urban Economics,
Vol. 24, no. 2, 1988.
"Comparative Statics of Integrable Nash
Equilibria," Economics Letters, Vol. 23, 1987.
"Improving Intergovernmental Finance: A Message From the
Northland," Quarterly Review, Federal Reserve Bank of Minneapolis,
"The Statewide Economic Impact of Small-Issue Industrial Revenue
Bonds," Quarterly Review, Federal Reserve Bank of Minneapolis,
"Probable Future Competition in Banking Antitrust Determination:
Research Findings," Quarterly Review, Federal Reserve Bank of
Minneapolis, Summer, 1984.
"Nonlinear Subsidies: The Inefficiency of In-Kind Transfers
Revisited," Public Finance Quarterly, January, 1984.
"Another Note on Deadweight Loss," Journal of Public Economics,
Vol. 18, no. 2, July 1982.
"The Construction of Revenue Sharing Formulae," Southern
Economic Journal, April 1982.
"Chaotic Dynamics and Bifurcation in a Macro Model," Journal of
Economic Dynamics and Control, Vol. 2, no. 4, November, 1980.
- Santa Fe Institute, March 2018; Midwest Finance Association, Chicago,
March 2017; Quantitative Methods in Finance Conference, UTSydney, Dec. 2016; Finance Dept., University
of Wyoming, Oct. 2016; Finance Dept., California Polytechnic, Feb.
2016; ESSEC Business School Conference on Systemic Risk, Singapore,
Dec. 2015; Midwest Finance Association, Chicago, March 2015;
Info-Metrics Institute Conference, Washington, DC, Oct. 2014; Midwest
Econometrics Conference, Univ. of Iowa, Sept. 2014; Information,
Instability, and Fragility in Networks Conference, Info-Metrics
Institute, Boulder, CO, Nov. 2013; INFORMS Conference, Sapienza
Univ. of Rome, July 2013; Info-Metrics Conference, UC Riverside,
Nov. 2012; Euro2012 Conference, Vilnius, Lithuania, July 2012; Financial
System Stability Conference, Info-Metrics Institute, American
University, Washington, DC. March 2012; FMA Annual Conference, Denver,
Oct. 2011, Conference on Consumer Financial Decision Making, University
of Colorado, June 2011; Info-Metrics Conference, American
University, Washington, DC., Sept. 2010; SP XII Conference, Dalhousie
University, Halifax Aug. 2010; Information Econometrics
Conference, American Univ., Nov. 2009 ; Qwafafew,
Denver, Oct. 2009 ; Western Finance Association, Honolulu,
June 2008 ; Quantitative Finance Workshop, Univ. of Bologna,
Rimini, May 2008 ; Swiss Society for Financial Market Research, Swiss
Stock Exchange, Zurich, April 2008 ; Conference on Professional
Asset Management, Rotterdam School of Management, Netherlands,
March 2008 ; Lipper, Inc. Client Advisory Council, Vail,
March 2008; SPXI Conference, University of Vienna, August
2007; 21st European Conference of Operations Research, Reykjavik,
Iceland, July 2006; Information and Entropy Econometrics Conference,Washington, D.C., Sept.
2005; Annual Finance and Accounting Conference, Tel-Aviv, Dec.
2004; Hedge Fund Conference, Toronto, Nov. 2004; University
of Waterloo, Canada, Nov. 2004; Bachelier
Finance Conference, Chicago, July 2004; Model Specification
Conference , University of Minnesota, June 2004; University
of Houston , April 2004; University of Iowa , April
2004; Information Econometrics Conference , Washington, DC,
Sept 2003; Morningstar National Research Conference, Chicago,
June 2003; Denver Society of Security Analysts, Denver, April
2003; Denver Investment Advisors, Denver, April 2003; Lipper,Inc, Dec.2003; University of Toronto,
Nov. 2002; IFID Conferences, Toronto, Nov 2002; CIRANO
External Events Conference, Montreal, Oct. 2002; Ecole Polytechnique, Paris,
Mar. 2002; Frontiers-In-Finance, Paris, Mar. 2002;
University of Colorado, Boulder, Mar. 2002; University
of Minnesota, Minneapolis, Dec. 2001; AMA-SMF Math Finance
Conference, Lyon, France, July 2001; Annual Finance Workshop,
AGSM Sydney, AU., June 2001; University of Illinois
-Chicago, April 2001; Conference on Nonlinear Dynamics and
Econometrics, FRB Atlanta, March 2001; Morningstar, Inc., March
2001; Georgia State University, March 2001; Conference
on Risk Neutral and Objective Probability Distributions, Fuqua School of
Business, Duke University, Oct. 2000; New York Univ.,
Oct. 2000; Univ. of Alberta, Sept.2000; Chicago Loyola
University, Sept. 2000; Bachelier
Finance Conference, Universite de
Paris, June 2000; Invited Visitor Lectures, Eurandom
Institute, Eindhoven, Netherlands, June 2000; Tulane
University, Feb. 2000; Quantitative Research Dept., Goldman,
Sachs, New York, Nov. 1999.
- Reader's Choice Award + Graham and Dodd Scroll Award, Financial
Analysts Journal, 2006
- Teaching Innovation Grant,
Leeds School, 2010
- Research Grants, Chicago Board of Trade, 1999 and 1996
- 2nd place, Donald P. Jacobs Prize Competition, Journal of
Financial Intermediation, 1996.
- Rated 5th best MBA Teacher at the
Carlson School of Management, University of Minnesota, by Business Week
Ratings of the Best Business Schools, 1995.
- Editorial Board: Journal of Futures Markets
- Section Co-Editor: Encyclopedia of Quantitative Finance
- Associate Editor: Entropy
- Research Associate: Info-Metrics Institute
- Chair, Info-Metrics Institute Research Award Committee
- Program Committee: Western Finance Association
- Program Committee: Financial Management Association
- Judge: Financial Planning Association Faculty Research Awards
- Chair, CESR Executive Director Search Committee
- Chair, Leeds School Full Professors’ Committee
- Member: University of Colorado Provost's Salary Equity and
- Member: University of Colorado Vice Chancellor's Advisory
Committee for Promotion and Tenure Cases
- Member: Leeds School Dean Search Committee
- Chair: Leeds School Research Committee
- Chaired/Served on Hordes of
Leeds PURCs (a.k.a. Busted My Ass Repeatedly)
- Member: Special Leeds
School Promotion and Tenure
Standards Communications Committee
- Member: Finance Division Executive Committee (I Was Elected
Against My Will)
- Faculty Advisor: MBA Finance Student Assn.
- Member: CU Actuarial Studies Program Board/Quantitative Finance
- Referee: Journal of Finance, Review of Financial Studies,
American Economic Review, Econometrica, Journal
of Business, Journal of Political Economy, Journal of Econometrics,
Management Science, Quantitative Finance, Journal of Derivatives, Journal
of Futures Markets, Journal of Derivatives.
- Member: Investment Advisory Board, Minnesota State Board of