Mark Kritzman

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

77 Massachusetts Ave.

E62-416

Cambridge, MA 02142

United States

SCHOLARLY PAPERS

9

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8,662

CITATIONS
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SSRN RANKINGS

Top 19,350

in Total Papers Citations

16

Scholarly Papers (9)

1.

Principal Components as a Measure of Systemic Risk

MIT Sloan Research Paper No. 4785-10
Number of pages: 33 Posted: 02 Jul 2010
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
Downloads 1,976 (3,438)
Citation 9

Abstract:

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 1,321 (9,387)
Citation 7

Abstract:

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 1,127 (12,339)

Abstract:

finance, portfolio: optimal rebalancing with transaction costs

4.

Facts About Factors

MIT Sloan Research Paper No. 5128-15
Number of pages: 24 Posted: 17 Apr 2015
State Street Corporation, State Street Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 984 (7,821)

Abstract:

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

5.

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 Corporate - State Street Associates, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 768 (18,729)

Abstract:

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

6.

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

MIT Sloan Research Paper No. 5110-14
Number of pages: 22 Posted: 26 Jul 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
Downloads 370 (40,555)

Abstract:

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

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 Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 0 (101,959)

Abstract:

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.

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:

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

9.

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:

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