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Faculty & Research

Mark Kritzman

  • Senior Lecturer, Finance

Mark P. Kritzman is a Senior Lecturer in Finance at the MIT Sloan School of Management.

Kritzman is also the president and chief executive officer of Windham Capital Management, LLC, and also serves as a senior partner of State Street Associates. He serves on the boards of the Institute for Quantitative Research in Finance and the Investment Fund for Foundations, and on the editorial boards of the Emerging Markets Review,the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Asset Management, the Journal of Derivatives, and the Journal of Investment Management.  

Kritzman has written numerous articles for academic and professional journals, focusing on investing and risk management. He is the author of six books, including Puzzles of Finance and The Portable Financial Analyst.

Kritzman holds an MBA from New York University and a Chartered Financial Analyst designation. 

  • "Implementation Shortfall: from Concept to Theory." Kritzman, Mark.
  • "Mean Variance versus Full Scale Optimization: In and Out of Sample." Kritzman, Mark.
  • "Optimal Execution for Portfolio Transitions." Kritzman, Mark.
  • "Portfolio Formation with Higher Moments and Plausible Utility." Kritzman, Mark.
  • "Portfolio Rebalancing: A Scalable Solution." Kritzman, Mark.
  • "Risk Disparity." Kritzman, Mark, MIT Sloan Working Paper 5001-13. Cambridge, MA: MIT Sloan School of Management, 2013.
  • "Which Currency Hedging Strategy Is Best?" Chen, Wei, Mark Kritzman, David Turkington, MIT Sloan Working Paper 5003-13. Cambridge, MA: MIT Sloan School of Management, 2013.
  • "Optimal Currency Hedging: In and Out of Sample." Kritzman, Mark. (2009):
  • "Are Optimizers Error Maximizers: Hype versus Reality? " Kritzman, Mark. (2006):
  • "Canada Unbound: Removing the Foreign Content restriction Rules." Kritzman, Mark. (2005):
  • "Re-engineering Investment Management." Kritzman, Mark. (2004):
  • "Asset Allocation versus Security Selection: Evidence from Global Markets." Kritzman, Mark. (2003):
  • "Technology and the Infrastructure of Financial Flows." Kritzman, Mark. (2003):
  • "The Hierarchy of Investment Choice: A Normative Interpretation." Kritzman, Mark. (2003):
  • The Portable Financial Analyst, 2nd edition, 2003, John Wiley & Sons.. Kritzman, Mark. 2003.
  • Puzzles of Finance, paperback edition, 2002, John Wiley & Sons.. Kritzman, Mark. 2002.
  • "Value at Risk for Portfolios with Short Positions." Kritzman, Mark. (2002):
  • "Risk Budgets." Kritzman, Mark. (2001):
  • "Risk, Regimes, and Overconfidence." Kritzman, Mark. (2001):
  • "Currency Hedging and the Risk of Loss." Kritzman, Mark. (2000):
  • Puzzles of Finance, 2000, John Wiley & Sons.. Kritzman, Mark. 2000.
  • "Optimal Portfolios in Good Times and Bad." Kritzman, Mark. (1999):
  • "Toward Defining an Asset Class." Kritzman, Mark. (1999):
  • "Beware of Dogma: The Truth about Time Diversification." Kritzman, Mark. (1998):
  • Currency Management: Concepts and Practices, 1996, AIMR, with R. Clarke.. Kritzman, Mark. 1996.
  • Dictionary of Financial Risk Management, 1996 and 1999. Kritzman, Mark. 1996.
  • "Review of Pension Schemes and Pension Funds in the United Kingdom, by David Blake, The Journal of Finance, 1996.." Kritzman, Mark. (1996):
  • The Portable Financial Analyst, 1995, McGraw Hill.. Kritzman, Mark. 1995.
  • "What Practitioners Need to Know... About Event Studies." Kritzman, Mark. (1994):
  • "What Practitioners Need to Know... About Future Value." Kritzman, Mark. (1994):
  • "What Practitioners Need to Know... About Higher Moments." Kritzman, Mark. (1994):
  • "What Practitioners Need to Know... About Hypothesis Testing." Kritzman, Mark. (1994):
  • "What Practitioners Need to Know... About Serial Dependence." Kritzman, Mark. (1994):
  • "What Practitioners Need to Know... About Time Diversification." Kritzman, Mark. (1994):
  • "The Minimum-Risk Currency Hedge Ratio and Foreign Asset Exposure." Kritzman, Mark. (1993):
  • "The Optimal Currency Hedging Policy with Biased Forward Rates." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About Commodity Futures Contracts." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About Factor Models." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About Monte Carlo Simulation." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About Option Replication." Kritzman, Mark. (1993):
  • "What Practitioners need to Know... About Return and Risk." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About The Term Structure of Interest Rates." Kritzman, Mark. (1993):
  • "What Practitioners Need to Know... About Currencies." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Duration and Convexity." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Hedging." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Lognormality." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Optimization." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Utility." Kritzman, Mark. (1992):
  • "What Practitioners Need to Know... About Regressions." Kritzman, Mark. (1991):
  • "What Practitioners Need to Know... About The Nobel Prize." Kritzman, Mark. (1991):
  • "What Practitioners Need to Know... About Uncertainty." Kritzman, Mark. (1991):
  • "What Practitioners Need to Know… About Estimating Volatility, Part 1." Kritzman, Mark. (1991):
  • "What Practitioners Need to Know… About Estimating Volatility, Part 2." Kritzman, Mark. (1991):
  • Asset Allocation for Institutional Portfolios, 1990, Richard D. Irwin, Inc.. Kritzman, Mark. 1990.
  • "A Simple Solution for Optimal Currency Hedging." Kritzman, Mark. (1989):
  • "Serial Dependence In Currency Returns: Investment Implications." Kritzman, Mark. (1989):
  • "Risk Containment for Investors with Multivariate Utility Functions." Kritzman, Mark. (1988):
  • "TIPP: Insurance Without Complexity." Kritzman, Mark. (1988):
  • "How to Build a Normal Portfolio in Three Easy Steps." Kritzman, Mark. (1987):
  • Quantitative Methods for Financial Analysis, 1987 and 1990, Dow Jones-Irwin, with S. Brown.. Kritzman, Mark. 1987.
  • "How to Detect Skill in Management Performance." Kritzman, Mark. (1986):
  • "Incentive Fees: Some Problems and Some Solutions." Kritzman, Mark. (1986):
  • "What's Wrong with Portfolio Insurance?" Kritzman, Mark. (1986):
  • "Can Bond Managers Perform Consistently? " Kritzman, Mark. (1983):