Skulls, financial turbulence, and risk management
M Kritzman, Y Li - Financial Analysts Journal, 2010 - Taylor & Francis
Based on a methodology introduced in 1927 to analyze human skulls and later applied to
turbulence in financial markets, this study shows how to use a statistically derived measure of …
turbulence in financial markets, this study shows how to use a statistically derived measure of …
In Defense of Optimization: The Fallacy of 1/N
M Kritzman, S Page, D Turkington - Financial Analysts Journal, 2010 - Taylor & Francis
… Mark Kritzman, CFA, is president and CEO of Windham Capital Management, Cambridge,
Massachusetts. Sébastien Page, CFA, is senior managing director and David Turkington, CFA…
Massachusetts. Sébastien Page, CFA, is senior managing director and David Turkington, CFA…
Principal components as a measure of systemic risk
The US government’s failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …
markets, together with excessive risk taking by some financial institutions, pushed the world …
The cost of socially responsible investing
T Adler, M Kritzman - Journal of Portfolio Management, 2008 - search.proquest.com
In this article, the authors estimate the cost of practicing socially responsible investing.
Using these results, investors may determine whether imposing restrictions on the available …
Using these results, investors may determine whether imposing restrictions on the available …
Optimal portfolios in good times and bad
G Chow, E Jacquier, M Kritzman… - Financial Analysts …, 1999 - Taylor & Francis
Recent experience with emerging market investments and hedge funds has highlighted the
fact that risk parameters are unstable. To address this problem, we introduce a procedure for …
fact that risk parameters are unstable. To address this problem, we introduce a procedure for …
Regime shifts: Implications for dynamic strategies (corrected)
M Kritzman, S Page, D Turkington - Financial Analysts Journal, 2012 - Taylor & Francis
… Rather, we extended the Kritzman and Li (2010) approach by using Markov-switching models
to reallocate dynamically across event-sensitive portfolios. To avoid overfitting, we did not …
to reallocate dynamically across event-sensitive portfolios. To avoid overfitting, we did not …
What practitioners need to know... about time diversification (corrected)
M Kritzman - Financial Analysts Journal, 2015 - Taylor & Francis
… Mark Kritzman, CFA, is a Partner at Windham Capital Management. … For a review of the
relation between probability estimation and the dispersion of returns, see M. Kritzman, “What …
relation between probability estimation and the dispersion of returns, see M. Kritzman, “What …
What practitioners need to know… about event studies
MP Kritzman - Financial Analysts Journal, 1994 - Taylor & Francis
Event studies measure the relationship between an event that affects securities and the
return of those securities. Some events, such as a regulatory change or an economic shock, …
return of those securities. Some events, such as a regulatory change or an economic shock, …
Introduction to 'valuation in emerging markets'
RF Bruner, RM Conroy, J Estrada, M Kritzman… - Emerging markets …, 2002 - Elsevier
The purpose of the Batten Institute/Association for Investment Management and Research/Emerging
Markets Review conference was to examine the challenges of valuing assets in …
Markets Review conference was to examine the challenges of valuing assets in …
TIPP: Insurance without complexity
T Estep, M Kritzman - Journal of Portfolio Management, 1988 - search.proquest.com
Time-Invariant Portfolio Protection (TIPP) is a technique of insurance which differs from the
complex methods of put replication adopted by some fund managers. Put replication is …
complex methods of put replication adopted by some fund managers. Put replication is …