David Turkington

State Street Associates

Managing Director

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 11,405

in Total Papers Downloads

3,223

CITATIONS

0

Scholarly Papers (9)

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 (7,901)

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 (18,773)

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 (40,210)

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.

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 (109,431)

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

5.

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), Independent and State Street Associates

Abstract:

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

6.

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

7.

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

9.

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