Megan Czasonis

State Street Corporate

1 Lincoln Street

Boston, MA 02111

United States

SCHOLARLY PAPERS

6

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Top 14,893

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Scholarly Papers (6)

1.

Facts About Factors

MIT Sloan Research Paper No. 5128-15
Number of pages: 24 Posted: 17 Apr 2015
State Street Corporate, State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 1,995 (7,072)

Abstract:

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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.

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 Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 633 (40,078)

Abstract:

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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

3.

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 312 (94,975)

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

4.

Carry On

Number of pages: 22 Posted: 25 May 2018
Megan Czasonis, Baykan Pamir and David Turkington
State Street Corporate, State Street Associates and State Street Associates
Downloads 155 (187,010)

Abstract:

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Carry Trade, Currencies, Centrality, Crowded Trades, Forward Premium, Valuations, Turbulence

5.

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 56 (362,594)

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

6.

A Comparative Analysis of Performance Fees

MIT Sloan Research Paper No. 5260-18, https://doi.org/10.3905/jpm.2018.44.7.075
Posted: 09 Jan 2018
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 0 (657,341)

Abstract:

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Certainty equivalent, Flat fee, Kinked utility, Log utility, Performance Fee, Power utility