Portfolio and Credit Risk Management
Measuring
the True Cost of Active Management by Mutual Funds by Ross M. Miller
turns the conventional wisdom that hedge funds are more expensive than
mutual funds on its head by demonstrating that large-cap mutual have an
expense ratio of 7% on the proportion of assets that are actively
managed, which is considerably greater than the standard 2+20 fee
schedule of most hedge funds.
A
Framework for Risk Management in Diversified Financial Companies by David P. Greene and Ross M. Miller develops a new methodology
for enterprise-level risk assessment. This paper was presented at the
Fischer Black Memorial Conference on Corporate Risk Management, UCLA
Anderson School of Management, March 29-30, 1996.
A
Nonparametric Test for Credit Rating Refinements by
Ross M. Miller describes a new statistical technique for comparing
credit risk rating systems and uses it to show that credit
ratings generated by KMV's Credit
Monitor are a statistically significant refinement of S&P ratings
as a predictor of defaults for a one-year time horizon. This
paper was published under the title "Refining Ratings"
in the August
1998 issue of Risk Magazine. The "Miller Test"
developed in this paper has now been used in credit default studies
produced by Moody's
and KMV.
Treynor-Black
Revisited: A New Application to Enterprise-Wide Portfolio Optimization by Ross M. Miller shows how the classic Treynor-Black
model can be applied to a variety of portfolio risk management
problems. An abridged version of this paper appears under the title
"Training
the Portfolio" in the Enterprise-Wide Risk Management Special
Report with the November 1999 issue of Risk
Magazine.
Money
Illusion Revisited: Linking Inflation to Asset Return Correlations
by Ross M. Miller and Evan Schulman statistically demonstrates that the
rate of inflation and short-term interest rates affect the correlation
between U.S. stocks and U.S. government bonds. As a result, risk
management and tactical asset allocation plans that assume that these
correlation are constant may be highly misleading. This article was
published in the Spring 1999 issue of the Journal of Portfolio
Management.
Option
Valuation by Ross M. Miller provides a general framework for valuing
options and other derivative securities in the Mathematica
programming language. This article was published in Economic
and Financial Modeling with Mathematica, Hal
R. Varian, ed., TELOS/Springer-Verlag, 1993. A.
Mathematica notebook version of this article is also
available on this site.
Market Bubbles
Can
Markets Learn to Avoid Bubbles? by Ross M. Miller is a
companion piece to Paving Wall Street that examines how "smart
markets" might be designed that are less conducive to the
formation of bubbles. This article appeared in Volume 3 (2002), Number
1 of the Journal
of Psychology and Financial Markets. PDF
version available from the Financial Economics Network.
Don't
Let Your Robots Grow Up To Be Traders: Artificial Intelligence, Human
Intelligence, and Asset-Market Bubbles by Ross M. Miller shows the
tendency for markets to form bubbles in even the simplest experimental
asset markets using robot traders. PDF
version available from the Financial Economics Network.
Enron
Six Degrees of Enron by Ross M. Miller is an HTML version of a talk
presented on November 17 at the 2002 Texas Book Festival in Austin, Texas.
Another
Chapter in the Continuing Story: Enron and the Banks by Ross M.
Miller is a continuation of the tale of Enron that begins in the book, What
Went Wrong at Enron. An substantially shortened version of this article appeared under the title "Numbers That
Didn't Add Up" in the September 2002 issue of Financial
World.
