Mark Kritzman

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

100 Main Street

E62-416

Cambridge, MA 02142

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 7,289

SSRN RANKINGS

Top 7,289

in Total Papers Downloads

6,794

SSRN CITATIONS
Rank 36,014

SSRN RANKINGS

Top 36,014

in Total Papers Citations

5

CROSSREF CITATIONS

15

Scholarly Papers (17)

1.

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 2,122 (7,584)

Abstract:

Loading...

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

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 1,670 (11,244)
Citation 5

Abstract:

Loading...

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 1,545 (12,690)

Abstract:

Loading...

finance, portfolio: optimal rebalancing with transaction costs

4.

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 434 (74,326)

Abstract:

Loading...

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

5.

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 342 (97,971)

Abstract:

Loading...

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

6.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Number of pages: 21 Posted: 20 Feb 2020
State Street Corporate, State Street Global Markets, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 237 (144,259)

Abstract:

Loading...

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

7.

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 164 (201,878)

Abstract:

Loading...

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

8.

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 154 (212,938)

Abstract:

Loading...

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

9.

Portfolio Choice with Path-Dependent Preferences

MIT Sloan Research Paper No. 6113-20
Number of pages: 21 Posted: 15 Jun 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, GIC Private Limited, GIC and State Street Associates
Downloads 85 (326,237)

Abstract:

Loading...

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

10.

The COVID Report Card

MIT Sloan Research Paper 6185-20
Number of pages: 27 Posted: 20 Oct 2020
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 24

Abstract:

Loading...

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

11.

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 17 (597,045)

Abstract:

Loading...

Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

12.

Partial Sample Regressions

MIT Sloan Research Paper No. 5894-19
Posted: 20 Nov 2019
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates

Abstract:

Loading...

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

13.

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

Abstract:

Loading...

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

14.

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

Abstract:

Loading...

15.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Posted: 20 May 2019 Last Revised: 30 Apr 2020
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates

Abstract:

Loading...

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

16.

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

Abstract:

Loading...

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

17.

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:

Loading...

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