Mark Kritzman

Windham Capital Management

800 Boylston Street

30th Floor

Boston, MA 02199

United States

  • Windham Capital Management

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    • Tel: 6174193900
    • Fax: 6172365034
SCHOLARLY PAPERS

39

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48

Scholarly Papers (39)

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1.

Valuation in Emerging Markets

Number of pages: 15 Posted: 23 Nov 2002
Robert F. Bruner, Robert M. Conroy, Javier Estrada, Mark Kritzman and Wei Li
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 2,891 (4,819)
Citation 5

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2.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,845 (4,970)
Citation 36

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Systemic risk, principal components

3.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Number of pages: 20 Posted: 21 Jan 2020
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates
Downloads 2,248 (7,321)
Citation 2

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Business cycle, Coincident indicator, Conference Board, KKT Index, Lagging indicator, Leading indicator, Mahalanobis distance, NBER, Robust growth, Recession, Statistical similarity, Yield curve

4.

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 1,940 (9,370)
Citation 17

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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

5.

Mean-Variance Versus Full-Scale Optimization: In and Out of Sample

MIT Sloan Research Paper No. 4589-05
Number of pages: 20 Posted: 16 Feb 2006
Timothy Adler and Mark Kritzman
Windham Capital Management and Windham Capital Management
Downloads 1,705 (11,537)
Citation 5

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Mean-Variance Analysis, Full-Scale Optimization, Portfolio Formation

6.

Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic

MIT Sloan Research Paper No. 4641-07
Number of pages: 23 Posted: 31 Mar 2007
Mark Kritzman, Simon Myrgren and Sebastien Page
Windham Capital Management, State Street Associates and State Street Associates
Downloads 1,562 (13,218)

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finance, portfolio: optimal rebalancing with transaction costs

7.

'Valuation in Emerging Markets' Cdrom Edition

Number of pages: 6 Posted: 23 Nov 2002
Robert F. Bruner, Robert M. Conroy, Mark Kritzman, Wei Li and Elizabeth F. O'Halloran
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 1,329 (17,026)

Abstract:

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8.

Toward Determining the Optimal Investment Strategy for Retirement

Number of pages: 11 Posted: 03 Jan 2019
Javier Estrada and Mark Kritzman
IESE Business School and Windham Capital Management
Downloads 1,252 (18,625)
Citation 4

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retirement strategies; failure rate; coverage ratio; asset allocation

9.

The Stock-Bond Correlation

MIT Sloan Research Paper No. 6108-20
Number of pages: 22 Posted: 12 May 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 586 (54,072)
Citation 2

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Autocorrelation, Henriksson-Merton test, Informativeness, Lagged cross-correlation, Mahalanobis distance, Partial sample regression, Relevance, Single period correlation, Statistical similarity

10.

Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

Downloads 426 ( 79,909)
Citation 2

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 225 (158,331)
Citation 3

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Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

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 201 (176,390)
Citation 1

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11.

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, Windham Capital Management and State Street Associates
Downloads 350 (100,271)

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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

12.

'An Interview with Mark Mobius' Cdrom Edition

Number of pages: 2 Posted: 27 Nov 2002
Robert F. Bruner, Robert M. Conroy, Mark Kritzman, Wei Li and Elizabeth F. O'Halloran
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 328 (107,781)

Abstract:

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13.

Countries Versus Industries in Europe: A Normative Portfolio Approach

Number of pages: 25 Posted: 23 Feb 2005
Javier Estrada, Mark Kritzman, Sebastien Page and Simon Myrgren
IESE Business School, Windham Capital Management, State Street Associates and State Street Associates
Downloads 227 (157,390)

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Portfolio management, Country versus industries, Europe

14.

The Past as Prologue: How to Forecast Presidential Elections

MIT Sloan Research Paper No. 6166-20
Number of pages: 23 Posted: 17 Aug 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 215 (165,732)

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Informativeness, logit, logit transformation, mahalanobis distance, partial sample regression, relevance, statistical similarity

15.

Evaluating Retirement Strategies: A Utility-Based Approach

Number of pages: 21 Posted: 06 Mar 2018
Javier Estrada and Mark Kritzman
IESE Business School and Windham Capital Management
Downloads 213 (167,207)
Citation 3

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Retirement Strategies; Failure Rate; Coverage Ratio; Utility-Based Analysis

16.

Optimal Currency Hedging: Horizon Matters

MIT Sloan Research Paper No. 5810-19, June 2019
Number of pages: 18 Posted: 14 Jun 2019
Nelson Arruda, Alain Bergeron and Mark Kritzman
Mackenzie Investments, Mackenzie Investments and Windham Capital Management
Downloads 189 (186,727)

Abstract:

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Auto-correlation, Cross-correlation, Interval error, Mean-variance optimization, Optimal currency hedge ratio

17.

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 174 (200,832)

Abstract:

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18.

The COVID Report Card

MIT Sloan Research Paper 6185-20
Number of pages: 27 Posted: 20 Oct 2020
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates
Downloads 129 (256,654)

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COVID report card, Cross-sectional regression analysis, Implied deaths, New cases, Reported deaths,

19.

Severe but Plausible — or Not?

MIT Sloan Research Paper No. 6246-21
Number of pages: 30 Posted: 12 Jan 2021 Last Revised: 13 Jan 2021
Stefan Gavell, Mark Kritzman and Cel Kulasekaran
Program on International Financial Systems, Windham Capital Management and Windham Capital Management
Downloads 61 (409,136)

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Alternative composite scenario, Comprehensive Capital Analysis and Review Program, COVID, Kurtosis, Mahalanobis distance, Severe but plausible, Skewness, Stress scenario, Stress test, Supervisory Capital Assessment Program

20.

The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Number of pages: 28 Posted: 11 Feb 2021
William B. Kinlaw, Mark Kritzman, Sébastien Page and David Turkington
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates
Downloads 57 (437,285)

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Bivariate normal distribution, conditional correlation, correlation asymmetry, correlation profile, exceedance correlation, full scale optimization, mean variance optimization, tail dependence

21.

The Relative Importance of Fiscal and Monetary Policy: An Empirical Perspective

MIT Sloan Research Paper No. 6152-20
Number of pages: 20 Posted: 24 Jul 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 39 (494,868)

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

22.

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 (643,182)
Citation 1
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23.

Portfolio Choice with Path-Dependent Preferences

MIT Sloan Research Paper No. 6113-20
Posted: 15 Jun 2020
Mark Kritzman, Ding Li, Grace (Tiantian) Qiu and David Turkington
Windham Capital Management, GIC Private Limited, GIC and State Street Associates

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Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Scenario Analysis, Statistical Similarity

24.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Posted: 20 Feb 2020
Megan Czasonis, William B. Kinlaw, Mark Kritzman and David Turkington
State Street Corporate, State Street Global Markets, Windham Capital Management and State Street Associates

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Fundamental risk, Leverage multiple, Leverage myth, Mean-variance analysis

25.

Partial Sample Regressions

MIT Sloan Research Paper No. 5894-19
Posted: 20 Nov 2019
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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Event-driven observations, Informativeness, Kernel smoothing, Mahalanobis distance, Multivariate similarity, Nadaraya-Watson kernel regression, Ordinary Least Squares, Regression analysis, Relevance, Relevance-weighted average

26.

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

27.

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

MIT Sloan Research Paper No. 5110-14, https://doi.org/10.3905/jpm.2015.41.3.014
Posted: 21 May 2019
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates

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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

28.

Principal Components as a Measure of Systemic Risk

MIT Sloan Research Paper No. 4785-10, https://doi.org/10.3905/jpm.2011.37.4.112
Posted: 21 May 2019
Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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29.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Posted: 20 May 2019 Last Revised: 30 Apr 2020
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates

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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

30.

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 Markets, Windham Capital Management and State Street Associates

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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

31.

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 Markets, Windham Capital Management and State Street Corporate
Downloads 0 (764,084)

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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

32.

Risk Disparity

MIT Sloan Research Paper No. 5001-13
Posted: 01 May 2013
Mark Kritzman
Windham Capital Management

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Absorption ratio, Cross-sectional parity, Extrinsic fragility, First passage probability, Inter-temporal parity, Intrinsic fragility, Investment policy, Macro-efficient, Micro-inefficiency, Policy portfolio, Risk disparity, Risk parity, Samuelson dictum, Standardized shift, Within-horizon loss

33.

Regime Shifts: Implications for Dynamic Strategies

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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

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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

34.

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

35.

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

36.

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

37.

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

38.

The Mismeasurement of Risk

Posted: 19 Oct 2002
Mark Kritzman and Don R. Rich
Windham Capital Management and affiliation not provided to SSRN

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39.

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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