Michael J. Stutzer

University of Colorado at Boulder - Leeds School of Business

Professor Finance

Boulder, CO 80309-0419

United States

  • University of Colorado at Boulder - Leeds School of Business

SCHOLARLY PAPERS

23

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4,049

SSRN CITATIONS
Rank 35,420

SSRN RANKINGS

Top 35,420

in Total Papers Citations

16

CROSSREF CITATIONS

10

Scholarly Papers (23)

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1.

A Portfolio Performance Index and its Implications

Number of pages: 34 Posted: 07 Oct 1998
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 1,977 (14,394)
Citation 6

Abstract:

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2.

Asset Allocation Advice: Reconciling Expected Utility with Shortfall Risk

Number of pages: 40 Posted: 30 Jun 2004
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 753 (58,665)
Citation 1

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Portfolio choice, shortfall risk, large deviations

3.

Portfolio Choice with Endogenous Utility: A Large Deviations Approach

Downloads 316 (165,676)
Citation 5

Portfolio Choice with Endogenous Utility: A Large Deviations Approach

Number of pages: 22 Posted: 24 Sep 2003
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 316 (164,825)
Citation 5

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Portfolio theory, large deviations, risk aversion

Portfolio Choice with Endogenous Utility: A Large Deviations Approach

Posted: 24 Sep 2003
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

Abstract:

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Portfolio theory, large deviations, risk aversion

4.

Fund Managers May Cause Their Benchmarks to Be Priced 'Risks'

Number of pages: 13 Posted: 18 Oct 2003
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 312 (167,991)
Citation 7

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fund management, portfolio choice, benchmark investing, tracking error variance, Fama-French factors

5.

Connections between Entropic and Linear Projections in Asset Pricing Estimation

Downloads 309 (169,691)

Connections between Entropic and Linear Projections in Asset Pricing Estimation

Number of pages: 16 Posted: 16 Mar 2002
Michael J. Stutzer and Yuichi Kitamura
University of Colorado at Boulder - Leeds School of Business and Yale University - Cowles Foundation
Downloads 309 (168,777)
Citation 9

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Entropy, Information, Large deviations, GMM, stochastic discount factor

Connections between Entropic and Linear Projections in Asset Pricing Estimation

Posted: 26 Mar 2002
Michael J. Stutzer and Yuichi Kitamura
University of Colorado at Boulder - Leeds School of Business and Yale University - Cowles Foundation

Abstract:

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Entropy, Information, Large deviations, GMM, stochastic discount factor

6.

Style Investing and the ICAPM

Number of pages: 32 Posted: 12 Jan 2018
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 169 (301,486)

Abstract:

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ICAPM, Style Investing

7.

Honest Hypothesis Testing: A Parable

Number of pages: 12 Posted: 15 May 2016
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 116 (405,784)

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hypothesis testing, Bayesian methods, econometrics education

8.

The Bankruptcy Problem in Financial Networks

Number of pages: 10 Posted: 24 May 2018
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 55 (631,579)
Citation 2

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Bankruptcy, Financial Networks, Nash Bargaining

9.

Persistence of Averages in Financial Markov Switching Models: A Large Deviations Approach

Number of pages: 36 Posted: 19 Dec 2019
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business
Downloads 42 (708,218)

Abstract:

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Econophysics, Large Deviations, Markov Switching Models

10.

Madoff Mess Motivates

Posted: 17 Mar 2010
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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options strategies, backtesting, Madoff

11.

A Simple Parrondo Paradox

Posted: 11 Mar 2010
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

Abstract:

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Parrondo Paradox, Behavioral Finance, Decision Making

12.

The Paradox of Diversification

Posted: 09 Mar 2010
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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Parrondo Paradox , Diversification

13.

The Misuse of Expected Returns

Financial Analysts Journal, Vol. 62, No. 6, pp. 88-96, November/December 2006
Posted: 22 Dec 2006
Michael J. Stutzer, Chris Yung and Eric N. Hughson
University of Colorado at Boulder - Leeds School of Business, University of Virginia - McIntire School of Commerce and Claremont McKenna College - Robert Day School of Economics and Finance

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Investment Theory, Portfolio Theory, Equity Investments, Fundamental Analysis and Valuation Models, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation

14.

Asset Allocation Without Unobservable Parameters

Posted: 05 Nov 2004
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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Portfolio Management: Asset Allocation, Investment Policy

15.

A Portfolio Performance Index

Posted: 08 Oct 2000
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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Portfolio Choice, Fund Management, Endogenous Risk Aversion, Benchmark Investing

16.

A Simple Non-Parametric Approach to Bond Futures Option Pricing

Posted: 27 May 1999
Michael J. Stutzer and Muinul Chowdhury
University of Colorado at Boulder - Leeds School of Business and University Capital Strategies Group

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17.

A Theory of Mutual Formation and Moral Hazard, with Evidence from the History of the Insurance Company

REVIEW OF FINANCIAL STUDIES, Vol 8 No 2
Posted: 10 Oct 1998
Bruce D. Smith and Michael J. Stutzer
University of Texas at Austin (Deceased) and University of Colorado at Boulder - Leeds School of Business

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18.

Simple Nonparametric Approach to Derivative Security Valuation

Posted: 29 Aug 1998
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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19.

The Simple Analytics of Observed Discrimination in Credit Markets

95-7
Posted: 22 Jul 1998
Paul S. Calem and Michael J. Stutzer
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of Colorado at Boulder - Leeds School of Business

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20.

An Information-Theoretic Alternative to Generalized Method of Moments Estimation

Posted: 04 Feb 1998
Michael J. Stutzer and Yuichi Kitamura
University of Colorado at Boulder - Leeds School of Business and Yale University - Cowles Foundation

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21.

Interpreting the Market Price of Risk

Posted: 06 Dec 1997
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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22.

Canonical Pricing of Cbot Bond Futures Options

Posted: 12 Nov 1997
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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23.

A Simple Nonparametric Approach to Derivative Security Valuation

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 21 Nov 1996
Michael J. Stutzer
University of Colorado at Boulder - Leeds School of Business

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