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March 11, 2013


Mutual Funds
Risk Management
Experimental Finance
Online Articles
Books and Articles
Finance Notes
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Articles Available on the Miller Risk Advisors Site
and Elsewhere on the Web


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.



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.