Mark Kritzman

Windham Capital Management

One Federal Street

21st Floor

Boston, MA 02110

United States

Massachusetts Institute of Technology (MIT) - Sloan School of Management

100 Main Street

E62-416

Cambridge, MA 02142

United States

SCHOLARLY PAPERS

47

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20,477

SSRN CITATIONS
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SSRN RANKINGS

Top 12,794

in Total Papers Citations

73

CROSSREF CITATIONS

47

Scholarly Papers (47)

1.

Principal Components as a Measure of Systemic Risk

Number of pages: 30 Posted: 05 Apr 2010
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,927 (5,189)
Citation 60

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Systemic risk, principal components

2.

Valuation in Emerging Markets

Number of pages: 15 Posted: 23 Nov 2002
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 2,994 (8,052)
Citation 7

Abstract:

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3.

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 2,130 (13,912)
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

4.

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 2,040 (14,846)
Citation 7

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

5.

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 1,754 (18,823)

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finance, portfolio: optimal rebalancing with transaction costs

6.

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 1,705 (19,673)
Citation 10

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retirement strategies; failure rate; coverage ratio; asset allocation

7.

'Valuation in Emerging Markets' Cdrom Edition

Number of pages: 6 Posted: 23 Nov 2002
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 1,381 (27,056)

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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 256 (221,043)
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 218 (258,568)
Citation 1

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9.

The Past as Prologue: A New Approach to Forecasting

MIT Sloan Research Paper No. 6166-20
Number of pages: 26 Posted: 17 Aug 2020 Last Revised: 12 Mar 2021
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 452 (120,071)

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Informativeness, Mahalanobis distance, Partial sample regression, Relevance, Similarity

10.

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 436 (125,300)

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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

11.

Severe but Plausible — or Not?

MIT Sloan Research Paper No. 6246-21
Number of pages: 33 Posted: 12 Jan 2021 Last Revised: 19 Jan 2022
Stefan Gavell, Mark Kritzman and Cel Kulasekaran
Program on International Financial Systems, Windham Capital Management and Windham Capital Management
Downloads 357 (157,099)

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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

12.

'An Interview with Mark Mobius' Cdrom Edition

Number of pages: 2 Posted: 27 Nov 2002
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 356 (158,062)

Abstract:

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13.

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 338 (166,621)
Citation 4

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

14.

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 332 (169,850)

Abstract:

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

15.

Co-Occurrence: A New Perspective on Portfolio Diversification

MIT Sloan Research Paper No. 6892-23
Number of pages: 27 Posted: 17 May 2023 Last Revised: 22 May 2023
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates
Downloads 272 (209,879)

Abstract:

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Autocorrelation, Co-occurrence, Divergence, Full-scale Optimization, Informativeness, Lagged Cross Correlation, Mahalanobis Distance, Mean-variance Analysis, Multi-horizon Optimal Portfolio, Parametric Optimization, Pearson Correlation, Turbulence

16.

Countries Versus Industries in Europe: A Normative Portfolio Approach

Number of pages: 25 Posted: 23 Feb 2005
IESE Business School, Windham Capital Management, State Street Associates and State Street Associates
Downloads 263 (216,267)

Abstract:

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Portfolio management, Country versus industries, Europe

17.

Optimal Multi-Horizon Portfolios with Forward-Looking Expectations and Loss Aversion: An Application To Sovereign Wealth Funds

Number of pages: 38 Posted: 10 Sep 2022
Khalid Alsweilem, Mark Kritzman and Malan Rietveld
Center for Sustainable Development and Global Competitiveness, Stanford University, Windham Capital Management and Stellenbosch University
Downloads 236 (240,663)

Abstract:

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Optimization, sovereign wealth

18.

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 233 (243,638)

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19.

Dynamic Warp Analysis: A New Approach for Detecting and Timing Bubbles

MIT Sloan Research Paper No. 6960-23
Number of pages: 27 Posted: 16 Dec 2023
Mark Kritzman, Huili Song and David Turkington
Windham Capital Management, State Street Associates and State Street Associates
Downloads 228 (248,745)

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Bubble, Calendar Time, Cumulative Distance Matrix, Dynamic Warp Analysis, Euclidean Distance, Mahalanobis Distance, Warp Time

20.

How to Predict the Performance of NBA Draft Prospects

MIT Sloan Research Paper No. 6955-23
Number of pages: 37 Posted: 09 Sep 2023 Last Revised: 06 Feb 2024
State Street Corporate, Windham Capital Management, Windham Capital Management and State Street Associates
Downloads 224 (252,938)

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Adjusted Fit, Asymmetry, Central Limit Theorem, CKT regression, Codependence, Fit, Gaussian Kernel, Information Theory, Informativeness, Lasso Regression, Machine Learning, Mahalanobis Distance, Model-based Algorithm, Model-free Algorithm, Nearest Neighbor Partial Sample Regression, Relevance

21.

The COVID Report Card

MIT Sloan Research Paper 6185-20
Number of pages: 27 Posted: 20 Oct 2020
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates
Downloads 198 (283,479)

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

22.

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 147 (366,653)

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

23.

Portfolio Construction When Regimes are Ambiguous

Kritzman, M., C. Kulasekaran and D. Turkington. 2023. "Portfolio Construction When Regimes are Ambiguous." Journal of Portfolio Management (September).
Posted: 19 Apr 2023 Last Revised: 09 Sep 2023
Mark Kritzman, Cel Kulasekaran and David Turkington
Windham Capital Management, Windham Capital Management and State Street Associates

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Binary, Central Limit Theorem, Euclidean Distance, Fit, Gaussian Decay, Information Theory, Informativeness, Kernal Regression, Mahalanobis Distance, Mean-variance Optimization, Non-binary, Partial Sample Regression, Regime Sensitive Portfolio, Relevance, Scenario Analysis, Similarity, Z-score

24.

Relevance-based Prediction: A Transparent and Adaptive Alternative to Machine Learning

MIT Sloan Research Paper No. 6794, 2022
Posted: 03 Oct 2022 Last Revised: 15 Dec 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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25.

The Determinants of Inflation

Kinlaw, W., M. Kritzman, M. Metcalfe and D. Turkington. 2023. "The Determinants of Inflation." The Journal of Investment Management, 21 (3).
Posted: 16 Jun 2022 Last Revised: 09 Sep 2023
State Street Global Markets, Windham Capital Management, State Street Global Markets and State Street Associates

Abstract:

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Baum-Welch Algorithm, Euclidean Distance, Hidden Markov Model, Mahalanobis Distance, Markov process, Regime Characteristic, z-score

26.

Event Time

Journal of Portfolio Management, 4 (7): 81 - 92, 2023
Posted: 06 May 2022 Last Revised: 09 Sep 2023
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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Calendar time, Co-occurrence, Event intensity, Event time, Information theory, Informativeness, Kullback-Leibler divergence, Kurtosis, Mahalanobis distance, Normal divergence, Pearson correlation, Relative entropy, z-score

27.

Relevance

Czasonis, M., M. Kritzman and D. Turkington. 2022. "Relevance." Journal of Investment Management 20(1).
Posted: 17 Mar 2021 Last Revised: 02 Jun 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity

28.

The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Posted: 11 Feb 2021
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates

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

29.

Portfolio Choice with Path-Dependent Preferences

Kritzman, Mark and Li, Ding and Qiu, Grace (Tiantian) and Turkington, David, Portfolio Choice with Path-Dependent Scenarios (January 15, 2021). Financial Analysts Journal, 2021, 77(1): 90–100.
Posted: 15 Jun 2020 Last Revised: 30 Mar 2021
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

30.

The Stock-Bond Correlation

MIT Sloan Research Paper No. 6108-20
Posted: 12 May 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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

31.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Posted: 20 Feb 2020
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

32.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Posted: 21 Jan 2020
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates

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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

33.

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

34.

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
4x4invest and Windham Capital Management

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liquidity, option, volatility, bid-offer spread, hedge funds, private equity

35.

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

Abstract:

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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

36.

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
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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37.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Posted: 20 May 2019 Last Revised: 30 Apr 2020
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

38.

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

39.

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 (1,137,719)

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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

40.

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

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

42.

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

43.

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

44.

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

45.

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

46.

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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47.

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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