Details about Michael J. Stutzer

Access statistics for papers by Michael J. Stutzer.

Last updated 2019-11-12. Update your information in the RePEc Author Service.

Short-id: pst891

Working Papers

1995

1. The simple analytics of observed discrimination in credit markets
   Working Papers, Federal Reserve Bank of Philadelphia View citations (22)
   See also Journal Article The Simple Analytics of Observed Discrimination in Credit Markets, Journal of Financial Intermediation, Elsevier (1995) View citations (16) (1995)

1989

2. Duality and arbitrage with transactions costs: theory and applications
   Staff Report, Federal Reserve Bank of Minneapolis

1988

3. ADVERSE SELECTION, AGGREGATE UNCERTAINTY, AND THE ROLE FOR MUTUAL INSURANCE COMPANIES
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1984

4. Correspondence principles for concave orthogonal games
   Staff Report, Federal Reserve Bank of Minneapolis
5. Time consistency of optimal plans: an elementary primer
   Staff Report, Federal Reserve Bank of Minneapolis View citations (1)

1983

6. Variable rate subsidies: the inefficiency of in-kind transfers revisited
   Staff Report, Federal Reserve Bank of Minneapolis
   See also Journal Article Varible Rate Subsidies: The Ineficiency of In-Kind Transfers Revisited, Public Finance Review (1984) (1984)

1981

7. Another note on deadweight loss
   Staff Report, Federal Reserve Bank of Minneapolis
   See also Journal Article Another note on deadweight loss, Journal of Public Economics, Elsevier (1982) View citations (2) (1982)
8. Parametric properties of tax effort revenue sharing
   Staff Report, Federal Reserve Bank of Minneapolis

1980

9. Chaotic dynamics and bifurcation in a macro model
   Staff Report, Federal Reserve Bank of Minneapolis View citations (35)
   See also Journal Article Chaotic dynamics and bifurcation in a macro model, Journal of Economic Dynamics and Control, Elsevier (1980) View citations (45) (1980)

Journal Articles

2018

1. The bankruptcy problem in financial networks
   Economics Letters, 2018, 170, (C), 31-34 View citations (8)

2013

2. Optimal hedging via large deviation
   Physica A: Statistical Mechanics and its Applications, 2013, 392, (15), 3177-3182 View citations (1)

2003

3. Portfolio choice with endogenous utility: a large deviations approach
   Journal of Econometrics, 2003, 116, (1-2), 365-386 View citations (44)
   See also Chapter Portfolio choice with endogenous utility: a large deviations approach, World Scientific Book Chapters, 2011, 619-640 (2011) View citations (1) (2011)

2002

4. Connections between entropic and linear projections in asset pricing estimation
   Journal of Econometrics, 2002, 107, (1-2), 159-174 View citations (24)

1997

5. An Information-Theoretic Alternative to Generalized Method of Moments Estimation
   Econometrica, 1997, 65, (4), 861-874 View citations (284)

1996

6. A Simple Nonparametric Approach to Derivative Security Valuation
   Journal of Finance, 1996, 51, (5), 1633-52 View citations (129)
7. A graphical note on European put thetas
   Journal of Futures Markets, 1996, 16, (2), 201-209 View citations (1)

1995

8. A Bayesian approach to diagnosis of asset pricing models
   Journal of Econometrics, 1995, 68, (2), 367-397 View citations (42)
9. A Theory of Mutual Formation and Moral Hazard with Evidence from the History of the Insurance Industry
   The Review of Financial Studies, 1995, 8, (2), 545-77 View citations (31)
10. The Simple Analytics of Observed Discrimination in Credit Markets
    Journal of Financial Intermediation, 1995, 4, (3), 189-212 View citations (16)
    See also Working Paper The simple analytics of observed discrimination in credit markets, Working Papers (1995) View citations (22) (1995)

1990

11. Adverse Selection, Aggregate Uncertainty, and the Role for Mutual Insurance Contracts
    The Journal of Business, 1990, 63, (4), 493-510 View citations (36)
12. Adverse selection and mutuality: The case of the farm credit system
    Journal of Financial Intermediation, 1990, 1, (2), 125-149 View citations (8)

1989

13. Credit Rationing and Government Loan Programs: A Welfare Analysis
    Real Estate Economics, 1989, 17, (2), 177-193 View citations (42)

1988

14. Variable rate loans and financed activities: The case of adjustable rate mortgages
    Journal of Urban Economics, 1988, 24, (1), 27-37 View citations (1)

1987

15. Comparative statics for integrable Nash equilibria
    Economics Letters, 1987, 23, (1), 19-21
16. Improving intergovernmental finance: a message from the northland
    Quarterly Review, 1987, 11, (Spr), 2-13

1985

17. Adjustable rate mortgages: increasing efficiency more than housing activity
    Quarterly Review, 1985, 9, (Sum)
18. The statewide economic impact of small-issue industrial revenue bonds
    Quarterly Review, 1985, 9, (Spr) View citations (3)

1984

19. Probable future competition in banking antitrust determination: research findings
    Quarterly Review, 1984, 8, (Sum)
20. Varible Rate Subsidies: The Ineficiency of In-Kind Transfers Revisited
    Public Finance Review, 1984, 12, (1), 77-95
    See also Working Paper Variable rate subsidies: the inefficiency of in-kind transfers revisited, Staff Report (1983) (1983)

1982

21. Another note on deadweight loss
    Journal of Public Economics, 1982, 18, (2), 277-284 View citations (2)
    See also Working Paper Another note on deadweight loss, Staff Report (1981) (1981)

1980

22. Chaotic dynamics and bifurcation in a macro model
    Journal of Economic Dynamics and Control, 1980, 2, (1), 353-376 View citations (45)
    See also Working Paper Chaotic dynamics and bifurcation in a macro model, Staff Report (1980) View citations (35) (1980)

Chapters

2011

1. On Growth-Optimality vs. Security Against Underperformance
   Chapter 44 in THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, 2011, pp 641-653 View citations (1)
2. Portfolio choice with endogenous utility: a large deviations approach
   Chapter 43 in THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, 2011, pp 619-640 View citations (1)
   See also Journal Article Portfolio choice with endogenous utility: a large deviations approach, Elsevier (2003) View citations (44) (2003)

2005

3. FUND MANAGERS MAY CAUSE THEIR BENCHMARKS TO BE PRICED “RISKS”
   Chapter 10 in The World Of Risk Management, 2005, pp 203-218