Mutual Funds
"Measuring
the True Cost of Active Management by Mutual Funds," Journal
of Investment Management, First Quarter 2007.
"Stansky's
Monster: A Critical Examination of Fidelity Magellan's 'Frankenfund,'"
unpublished working paper available at http://ssrn.com/abstract=964824.
Experimental Economics and Behavioral Finance
"Intertemporal Competitive Equilibrium: An Empirical Study of Speculation," Quarterly
Journal of Economics, November 1977 (with Charles
R. Plott and Vernon
L. Smith), reprinted in
Vernon L. Smith, Papers
in Experimental Economics, Cambridge University Press, 1991 and
Charles R. Plott, Market
Institutions and Price Discovery, Edward Elgar, 2001.
"Product Quality Signaling in Experimental Markets," Econometrica,
July 1985 (with Charles R. Plott),
reprinted in Charles R. Plott, Information,
Finance, and General Equilibrium, Edward Elgar, 2001.
"Product Quality, Consumer Information, and ‘Lemons’ in Experimental
Markets," in Empirical Approaches to Consumer Economics, P. M. Ippolito and
D. T. Scheffman, eds., United States Federal Trade Commission, 1986 (with Michael Lynch,
Charles Plott, and Russell Porter).
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Approaches to Consumer Economics, P. M. Ippolito and D. T. Scheffman, eds., United
States Federal Trade Commission, 1986.
"Product Quality, Informational Efficiency and Regulations in Experimental
Markets," in Research in Experimental Economics, Volume 4, 1991 (with
Michael Lynch, Charles R. Plott, and
Russell Porter), reprinted in Charles R. Plott, Information,
Finance, and General Equilibrium, Edward Elgar, 2001.
"Money Illusion Revisited: Linking Inflation to Asset Return
Correlations," Journal
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Bubbles?" Journal
of Psychology and Financial Markets, Vol. 3, No. 1, 2002.
Paving Wall Street: Experimental Economics and
the Quest for the Perfect Market, John Wiley & Sons, 2002.
Smart Markets
"Markets as Logic Programs," in Artificial Intelligence in Economics and
Management, L. Pau, ed., North-Holland Publishing Company, 1986.
"On Distributing the Intelligence of Economic Processes," in Economics and
Artificial Intelligence, J. L. Roos, ed., Pergamon Press, 1987.
"Market Automation: Self-Regulation in a Distributed
Environment," Proceedings
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in Synthetic Securities," Journal of Economic Dynamics and Control, May 1990.
"Smart Electronic Markets: From Practice to Theory, " Journal of Economic
Dynamics and Control, June-July 1996.
Risk Management Topics (including Enron)
"Six Degrees of Enron,"
HTML version of a talk
presented on November 17 at the 2002 Texas Book Festival in Austin, Texas.
"A Framework
for Risk Management in Diversified Financial Companies," Proceedings of the
Fischer Black Memorial Conference on Corporate Risk Management, UCLA Anderson
School
of Management, March 29-30, 1996 (with David P. Greene).
"Refining Ratings," Risk,
August 1998, reprinted in David Shimko, ed., Credit Risk: Models and Management,
Risk Books, 1999 and also in Michael K. Ong, Internal Credit Risk Models, Risk
Books, 1999 (an earlier version is available online as "A Nonparametric Test for Credit Rating Refinements").
"Training the Portfolio"
, Risk, Special Report
on Enterprise-Wide Risk Management, November
1999 (an unabridged version is available online as "Treynor-Black
Revisited: A New Application to Enterprise-Wide Portfolio Optimization," ) .
"Numbers That Didn't Add Up," Financial
World, September 2002 (an unabridged version is available online as "Another
Chapter in the Continuing Story: Enron and the Banks").
What
Went Wrong at Enron, John Wiley & Sons, 2002 (with Peter C.
Fusaro).
Computational Finance
Computer-Aided
Financial Analysis, Addison-Wesley Publishing Company, 1990.
"Computer-Aided Financial Analysis: An
Implementation of the Black-Scholes
Model," The Mathematica
Journal, Summer 1990.
"An Intelligent Approach to Financial
Valuation," Proceedings of the First
International Conference on Artificial Intelligence Applications on Wall Street, IEEE
Press, 1991.
"Option Valuation," in
Economic
and Financial Modeling with Mathematica, Hal
R. Varian, ed., TELOS/Springer-Verlag, 1993.
Computer Modeling and Artificial Intelligence
"Oligopoly: A Multi-Purpose
Computer Simulation Game," Simulation and
Games, December 1981.
"Analyzing Government Policies," Byte,
October 1985 (with Alexander
Kelso).
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February 1987.
"Economic Modeling," Encyclopedia of Microcomputers,
Marcel Dekker,
1990.
"Economic Modeling and Artificial
Intelligence," in Artificial
Intelligence in Capital Markets, Roy A. Freedman et. al., eds., Probus, 1995.
Selected Early Working Papers
"Incentives and the Optimally Imperfect
Information Structure," Caltech Social Science Working
Paper 383, July 1981.
"Signaling, Taxation, and the Suppression
of Information," Boston University
School of Management Working Paper 2/82, January 1982.
"Artificial Intelligence/Expert Systems:
Financial Management By Rule-Based Systems," Strategic Computing and
Telecommunications in the Public Sector, Kennedy School of Government,
Harvard University, 1986 (with Mary M. O'Keeffe) order
here.
