Sebastien Page

State Street Associates

138 Mount Auburn Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

10

DOWNLOADS

7,724

CITATIONS

44

Scholarly Papers (10)

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 2,513 (4,820)
Citation 70

Abstract:

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Systemic risk, principal components

2.

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 1,872 (7,948)
Citation 28

Abstract:

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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

3.

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
Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 1,500 (11,429)

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finance, portfolio: optimal rebalancing with transaction costs

4.

The Multiple Dimensions of Asset Allocation: Countries, Sectors or Factors?

Number of pages: 36 Posted: 16 Jan 2002
Anne-Sophie E. Vanroyen and Sebastien Page
Columbia Management Group and State Street Associates
Downloads 1,201 (16,221)
Citation 2

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asset allocation, sector diversification

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 220 (136,727)
Citation 5

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Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach

EFMA 2004 Basel Meetings Paper
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 198 (151,245)
Citation 2

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6.

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 220 (137,109)
Citation 2

Abstract:

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Portfolio management, Country versus industries, Europe

7.

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

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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

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

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Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation

10.

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