Skulls, Financial Turbulence, and Risk Management

Posted: 15 Oct 2010

See all articles by Mark Kritzman

Mark Kritzman

Windham Capital Management

Yuanzhen Li

Windham Capital Management

Date Written: October 13, 2010

Abstract

Based on a methodology introduced in 1927 to analyze human skulls and later applied to turbulence in financial markets, this study shows how to use a statistically derived measure of financial turbulence to measure and manage risk and to improve investment performance.

Keywords: Portfolio Management: Portfolio Construction and Revision, Risk Management; Risk Management: Portfolio Risk Management

Suggested Citation

Kritzman, Mark and Li, Yuanzhen, Skulls, Financial Turbulence, and Risk Management (October 13, 2010). Financial Analysts Journal, Vol. 66, No. 5, 2010, Available at SSRN: https://ssrn.com/abstract=1691756

Mark Kritzman (Contact Author)

Windham Capital Management ( email )

800 Boylston Street
30th Floor
Boston, MA 02199
United States
6174193900 (Phone)
6172365034 (Fax)

Yuanzhen Li

Windham Capital Management ( email )

5 Revere Street
Cambridge, MA 02138
United States

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