Michael J. Stutzer

Michael Stutzer
Finance Department
Leeds School of Business
The University of Colorado, Boulder
Boulder, CO 80309

Office: 481 Business
Phone: (303) 492-4348
e-mail: michael.stutzer@colorado.edu






 “Persistence of Averages in Financial Markov Switching Models:  A Large Deviations Approach”, Physica A: Statistical Mechanics and Its Applications, V.553,124237, 2020.

“Performance 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, 2020.

“The Bankruptcy Problem in Financial Networks”, Economics Letters, V.170, 2018. 

“The Role of Entropy in Estimating Financial Network Default Impact”, Entropy, V.20(5), 2018.

“Style Investing and the ICAPM”, Quantitative Finance and Economics, V.2(3), 2018.

"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: Statistical Mechanics and Its Applications, 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, Vol.35(1), 2010.

"The Paradox of Diversification ", Journal of Investing , Vol.19(1), 2010.  Listed by Institutional Investor Journals on its Most Frequently Read list.  

"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 (forthcoming).

"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, 2002, pp.159-174.

"Improving Your Morningstar Ratings Using Options: A Comment", Journal of Investing, Winter 2001.

"Simple Entropic Derivation of a Generalized Black-Scholes Model", Entropy, 2000.

"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, 1996.

"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, Spring, 1987.

"The Statewide Economic Impact of Small-Issue Industrial Revenue Bonds," Quarterly Review, Federal Reserve Bank of Minneapolis, Spring, 1985.

"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.