Mark Kritzman

Windham Capital Management

5 Revere Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

18

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9,684

CITATIONS
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Top 11,551

in Total Papers Citations

46

Scholarly Papers (18)

1.

Valuation in Emerging Markets

Forthcoming in Emerging Markets Review
Number of pages: 15 Posted: 23 Nov 2002
University of Virginia - Darden School of Business, University of Virginia - Darden School of Business, IESE Business School, Windham Capital Management and University of Virginia - Darden School of Business
Downloads 2,858 (3,879)
Citation 13

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2.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,512 (4,818)
Citation 70

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Systemic risk, principal components

3.

Optimal Hedge Fund Allocations: Do Higher Moments Matter?

Revere Street Working Paper No. 272-13
Number of pages: 23 Posted: 10 Sep 2004
Jan-Hein Cremers, Mark Kritzman and Sebastien Page
State Street Associates, Windham Capital Management and State Street Associates
Downloads 1,871 (7,948)
Citation 28

Abstract:

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Hedge fund, hedge funds, optimization, portfolio, optimisation, skewness, kurtosis, higher moments, mean-variance, Markowitz, utility, behavioral finance, prospect theory, s-shaped, bilinear utility, convertible arbitrage, event driven, merger arbitrage, equity hedge, full-scale optimization, risk

4.

'Valuation in Emerging Markets' Cdrom Edition

Number of pages: 6 Posted: 23 Nov 2002
University of Virginia - Darden School of Business, University of Virginia - Darden School of Business, Windham Capital Management, University of Virginia - Darden School of Business and University of Virginia - Darden Schoool of Business
Downloads 1,322 (13,965)

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Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

Number of pages: 14 Posted: 10 Apr 2004
Javier Estrada, Mark Kritzman and Sebastien Page
IESE Business School, Windham Capital Management and State Street Associates
Downloads 220 (136,619)
Citation 5

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Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

EFMA 2004 Basel Meetings Paper
Number of pages: 14 Posted: 13 May 2004
Javier Estrada, Mark Kritzman and Sebastien Page
IESE Business School, Windham Capital Management and State Street Associates
Downloads 198 (151,102)
Citation 2

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6.

'An Interview with Mark Mobius' Cdrom Edition

Number of pages: 2 Posted: 27 Nov 2002
University of Virginia - Darden School of Business, University of Virginia - Darden School of Business, Windham Capital Management, University of Virginia - Darden School of Business and University of Virginia - Darden Schoool of Business
Downloads 323 (91,774)

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7.

Countries Versus Industries in Europe: A Normative Portfolio Approach

Number of pages: 25 Posted: 23 Feb 2005
IESE Business School, Windham Capital Management, State Street Associates and State Street Associates
Downloads 220 (136,998)
Citation 2

Abstract:

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Portfolio management, Country versus industries, Europe

8.

New Frontiers in Portfolio Management

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 1, 2015
Number of pages: 4 Posted: 02 Jul 2016
Rose Cosio, Javier Estrada and Mark Kritzman
UBS AG - UBS Wealth Management, IESE Business School and Windham Capital Management
Downloads 146 (197,373)

Abstract:

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9.

Who Charges More: Hedge Funds or Mutual Funds?

Journal of Applied Corporate Finance, Vol. 20, Issue 1, pp. 121-123, Winter 2008
Number of pages: 5 Posted: 02 Apr 2008
Mark Kritzman
Windham Capital Management
Downloads 14 (549,912)
Citation 1
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10.

Liquidity Options

Journal of Derivatives, Vol. 18, No. 1, 2010, https://doi.org/10.3905/jod.2010.2010.1.005, Revere Street Working Paper Series No. 272-27
Posted: 21 May 2019
Maxim Golts and Mark Kritzman
Acadian Asset Management and Windham Capital Management

Abstract:

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liquidity, option, volatility, bid-offer spread, hedge funds, private equity

11.

The Components of Private Equity Performance: Implications for Portfolio Choice

MIT Sloan Research Paper No. 5084-14, https://doi.org/10.3905/jai.2015.18.2.025
Posted: 07 Mar 2014
William B. Kinlaw, Mark Kritzman and Jason Mao
State Street Global Exchange, Windham Capital Management and State Street Corporate
Downloads 0 (661,445)

Abstract:

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Asset class alpha, Excess return, First mover advantage, Illiquidity premium, Lock up, Pseudo private equity, Risk-equivalent return, Shadow allocation, Shadow asset, Shadow liability, Stepwise regression

Regime Shifts: Implications for Dynamic Strategies

Financial Analysts Journal, Vol. 68, No. 3, 2012
Posted: 23 May 2012
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, Pimco and State Street Associates

Abstract:

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Regime Shifts: Implications for Dynamic Strategies

Financial Analysts Journal, Vol. 68, No. 3, 2012
Posted: 26 May 2012
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, State Street Associates and State Street Associates

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Portfolio Management, Portfolio Construction and Revision, Risk Management, Risk Management, Portfolio Risk Management

13.

Skulls, Financial Turbulence, and Risk Management

Financial Analysts Journal, Vol. 66, No. 5, 2010
Posted: 15 Oct 2010
Mark Kritzman and Yuanzhen Li
Windham Capital Management and Windham Capital Management

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Portfolio Management: Portfolio Construction and Revision, Risk Management; Risk Management: Portfolio Risk Management

14.

The Future of Finance

Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 11 Jul 2010
Mark Kritzman
Windham Capital Management

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Central clearing corporation, credit default swaps, systemic failure, moral hazard, claw-back provision, operating leverage, Brownian motion, partial differential equation, ordinary differential equation, first passage probability, barrier options, Mahalanobis distance, network theory

15.

In Defense of Optimization: The Fallacy of 1/N

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 19 Apr 2010
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, State Street Associates and State Street Associates

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Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation

16.

Optimal Rebalancing: A Scalable Solution

Journal Of Investment Management (JOIM), First Quarter 2009
Posted: 11 Feb 2009 Last Revised: 09 Jul 2010
Mark Kritzman, Simon Myrgren and Sebastien Page
Windham Capital Management, State Street Associates and State Street Associates

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Optimal Rebalancing, Multi-Period Optimization, Dynamic Programming

17.

The Mismeasurement of Risk

Financial Analysts Journal, Vol. 58, No. 3, May/June 2002
Posted: 19 Oct 2002
Mark Kritzman and Don R. Rich
Windham Capital Management and affiliation not provided to SSRN

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18.

Risk Containment Strategies for Investors with Multivariate Utility Functions

Posted: 02 Jul 1998
Mark Kritzman, Jay Light and Don R. Rich
Windham Capital Management, Harvard Business School - Finance Unit and affiliation not provided to SSRN

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