Mark Kritzman

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

100 Main Street

E62-416

Cambridge, MA 02142

United States

SCHOLARLY PAPERS

14

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CITATIONS
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7

Scholarly Papers (14)

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 1,993 (7,071)

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.

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 Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,593 (10,256)
Citation 7

Abstract:

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

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 1,495 (11,385)

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finance, portfolio: optimal rebalancing with transaction costs

4.

Which Currency Hedging Strategy is Best?

MIT Sloan Research Paper No. 5003-13
Number of pages: 37 Posted: 22 May 2013
Wei Chen, Mark Kritzman and David Turkington
State Street Global Markets - State Street Associates, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 1,082 (18,854)

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Basket option, Continuous value at risk, Cross hedging, First passage probability, Full-scale optimization, Kinked utility function, Linear hedging strategy, Mahalanobis distance, Non-linear hedging strategy, Turbulence, Within-horizon risk

5.

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 632 (40,101)

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

6.

Crowded Trades: Implications for Sector Rotation and Factor Timing

MIT Sloan Research Paper No. 5404-18
Number of pages: 29 Posted: 23 May 2018 Last Revised: 03 Oct 2018
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Exchange, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 510 (52,945)

Abstract:

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Absorption ratio, Asset centrality, Bubble, Crowded trade, Deflationary crowding, Fundamental value, Inflationary crowding, Relative value

7.

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 (94,832)

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

8.

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 55 (365,220)

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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

9.

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 Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 15 (540,527)

Abstract:

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

10.

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 Exchange, Massachusetts Institute of Technology (MIT) - Sloan School of 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

11.

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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12.

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 (655,592)

Abstract:

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

13.

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

Abstract:

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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

14.

Risk Disparity

MIT Sloan Research Paper No. 5001-13
Posted: 01 May 2013
Mark Kritzman
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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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