Megan Czasonis

State Street Corporate

1 Lincoln Street

Boston, MA 02111

United States

SCHOLARLY PAPERS

2

DOWNLOADS

384

CITATIONS

0

Scholarly Papers (2)

1.

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 Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 319 (93,601)

Abstract:

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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

2.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Number of pages: 23 Posted: 20 May 2019 Last Revised: 15 Jun 2019
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 65 (340,387)

Abstract:

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Covariance matrix, Economic scenarios, Euclidean distance, Financial turbulence, Gradient descent, Mahalanobis distance, Mean reversion, Mean-variance analysis, Multivariate normal distribution, Persistence, Scale independent, Scenario analysis