David Turkington

State Street Associates

Managing Director

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 9,771

in Total Papers Downloads

3,985

CITATIONS

0

Scholarly Papers (10)

1.

Facts About Factors

MIT Sloan Research Paper No. 5128-15
Number of pages: 24 Posted: 17 Apr 2015
Paula Cocoma, Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporation, State Street Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 984 (6,742)

Abstract:

Asset allocation, Asset classes, Auto-correlation, Dimensionality, Diversification, Estimation error, Estimation sample, Factor, Factor allocation, Fundamental factor, GICS classification, High-frequency return, Independent-sample error, Interval error, Lagged cross-correlation, Low-frequency return

2.

Which Currency Hedging Strategy is Best?

MIT Sloan Research Paper No. 5003-13
Number of pages: 37 Posted: 22 May 2013
Wei Chen, Mark Kritzman and David Turkington
State Street Corporate - State Street Associates, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 768 (18,721)

Abstract:

Basket option, Continuous value at risk, Cross hedging, First passage probability, Full-scale optimization, Kinked utility function, Linear hedging strategy, Mahalanobis distance, Non-linear hedging strategy, Turbulence, Within-horizon risk

3.

The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement

MIT Sloan Research Paper No. 5110-14
Number of pages: 22 Posted: 26 Jul 2014
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Exchange, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 370 (41,084)

Abstract:

Auto-correlation, Cross-correlation, Excess dispersion, High-frequency estimation, Information ratio, Low-frequency estimation, Risk parity, Security market line, Sharpe ratio, Square root of time, Tracking error

4.

Private Equity Valuations and Public Equity Performance

MIT Sloan Research Paper No. 5237-17
Number of pages: 26 Posted: 02 Oct 2017
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 0 (61,910)

Abstract:

Balanced stage venture capital, Capture ratio, Confirmation bias, Early stage venture capital, Fair value rules, Large buyout, Late stage venture capital, Limits to arbitrage, Mega buyout Mid buyout, Piecewise liner regression, Post valuation period, Small buyout, Valuation period

5.

Advances in Factor Replication

MIT Sloan Research Paper No. 5174-16
Number of pages: 29 Posted: 14 Aug 2016 Last Revised: 19 Aug 2016
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 0 (96,065)

Abstract:

Bayesian shrinkage, Elliptical distribution, Factor-replicating portfolio Full-scale optimization, Independent-sample error, Interval error, Kinked utility function, Non-parametric, Power utility function, Resampling, Small-sample error, Stability-adjusted return sample, Symmetrical distribution

6.

The Shadow Price of Liquidity in Asset Allocation - A Case Study

Journal of Investment Management (JOIM), Second Quarter 2014
Posted: 15 Nov 2014
Independent, Independent, Norges Bank Investment Management (NBIM), affiliation not provided to SSRN and State Street Associates

Abstract:

Illiquidity risk, alternative investments, portfolio optimization, asset allocation, portfolio construction

7.

The Divergence of the High and Low Frequency Estimation: Causes and Consequences

MIT Sloan Research Paper No. 5087-14
Posted: 14 May 2014
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Exchange, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates

Abstract:

Auto-correlation, Comparative statics, Cross-correlation, Excess dispersion, High-frequency estimation, Independent and identically distributed, Iso-expected return curve, Low-frequency estimation, Tracking error, Triannualized, Variance ratio

8.

Correlation Surprise

Posted: 21 Aug 2012
William B. Kinlaw and David Turkington
State Street Global Exchange and State Street Associates

Abstract:

Correlation surprise, turbulence

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:

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

Abstract:

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

10.

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

Abstract:

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