Mark Kritzman

Senior Lecturer, Finance

Biography | Selected Publications

Risk Disparity (2013)

Which Currency Hedging Strategy Is Best? (2013)

“Optimal Currency Hedging: In and Out of Sample,” The Journal of Asset Management, April 2009, with W. Kinlaw.

“Are Optimizers Error Maximizers: Hype versus Reality?” The Journal of Portfolio Management, Summer 2006.

“Canada Unbound: Removing the Foreign Content restriction Rules,” Canadian Investment Review, 2005 with S. Page.

“Re-engineering Investment Management,” The Journal of Portfolio Management, Fall 2004, with L. Thomas.

“Asset Allocation versus Security Selection: Evidence from Global Markets,” The Journal of Asset Management, Winter 2003, with S. Page.

“Technology and the Infrastructure of Financial Flows,” International Finance, Volume 6, Number 3, Winter 2003.

“The Hierarchy of Investment Choice: A Normative Interpretation,” The Journal of Portfolio Management, Spring 2003, with S. Page.

The Portable Financial Analyst, 2nd edition, 2003, John Wiley & Sons.

“Value at Risk for Portfolios with Short Positions,” The Journal of Portfolio Management, Spring 2002, with G. Chow.

Puzzles of Finance, paperback edition, 2002, John Wiley & Sons.

“Risk Budgets,” The Journal of Portfolio Management, Winter 2001, with G. Chow.

“Risk, Regimes, and Overconfidence,” The Journal of Derivatives, Spring 2001, with K. Lowry and A-S Van Royen.

“Currency Hedging and the Risk of Loss,” The Journal of Alternative Investments, Winter 2000.

Puzzles of Finance, 2000, John Wiley & Sons.

“Optimal Portfolios in Good Times and Bad,” Financial Analysts Journal, May-June 1999, with G. Chow, E. Jacquier, and K. Lowry.

“Toward Defining an Asset Class,” The Journal of Alternative Investments, Summer 1999.

“Beware of Dogma: The Truth about Time Diversification,” The Journal of Portfolio Management, Summer 1998, with D. Rich.

Currency Management: Concepts and Practices, 1996, AIMR, with R. Clarke.

Dictionary of Financial Risk Management, 1996 and 1999, Frank J. Fabozzi Associates, with G. Gastineau.

Review of Pension Schemes and Pension Funds in the United Kingdom, by David Blake, The Journal of Finance, 1996.

The Portable Financial Analyst, 1995, McGraw Hill.

“What Practitioners Need to Know… About Event Studies,” Financial Analysts Journal, November-December 1994.

“What Practitioners Need to Know… About Future Value,” Financial Analysts Journal, May-June 1994.

“What Practitioners Need to Know… About Higher Moments,” Financial Analysts Journal, September-October 1994.

“What Practitioners Need to Know… About Hypothesis Testing,” Financial Analysts Journal, July-August 1994.

“What Practitioners Need to Know… About Serial Dependence,” Financial Analysts Journal, March-April 1994.

“What Practitioners Need to Know… About Time Diversification,” Financial Analysts Journal, January-February 1994.

“The Minimum-Risk Currency Hedge Ratio and Foreign Asset Exposure,” Financial Analysts Journal, September-October 1993.

“The Optimal Currency Hedging Policy with Biased Forward Rates,” The Journal of Portfolio Management, Summer 1993.

“What Practitioners Need to Know… About Commodity Futures Contracts,” Financial Analysts Journal, March-April 1993.

“What Practitioners Need to Know… About Factor Models,” Financial Analysts Journal, January-February 1993.

“What Practitioners Need to Know… About Monte Carlo Simulation,” Financial Analysts Journal, November-December 1993.

“What Practitioners Need to Know… About Option Replication,” Financial Analysts Journal, July-August 1993.

“What Practitioners need to Know… About Return and Risk,” Financial Analysts Journal, May-June 1993.

“What Practitioners Need to Know… About The Term Structure of Interest Rates,” Financial Analysts Journal, September-October 1993.

“What Practitioners Need to Know… About Currencies,” Financial Analysts Journal, March-April 1992.

“What Practitioners Need to Know… About Duration and Convexity,” Financial Analysts Journal, November-December 1992.

“What Practitioners Need to Know… About Hedging,” Financial Analysts Journal, July-August 1992.

“What Practitioners Need to Know… About Lognormality,” Financial Analysts Journal, January-February 1992.

“What Practitioners Need to Know… About Optimization,” Financial Analysts Journal, September-October 1992.

“What Practitioners Need to Know… About Utility,” Financial Analysts Journal, May-June 1992.

“What Practitioners Need to Know… About Estimating Volatility, Part 1,” Financial Analysts Journal, July-August 1991.

“What Practitioners Need to Know… About Estimating Volatility, Part 2,” Financial Analysts Journal, September-October 1991.

“What Practitioners Need to Know… About Regressions,” Financial Analysts Journal, May-June 1991.

“What Practitioners Need to Know… About The Nobel Prize,” Financial Analysts Journal, January-February 1991.

“What Practitioners Need to Know… About Uncertainty,” Financial Analysts Journal, March-April 1991.

Asset Allocation for Institutional Portfolios, 1990, Richard D. Irwin, Inc.

“A Simple Solution for Optimal Currency Hedging,” Financial Analysts Journal, November-December 1989.

“Serial Dependence In Currency Returns: Investment Implications,” The Journal of Portfolio Management, Fall 1989.

“Risk Containment for Investors with Multivariate Utility Functions,” The Journal of Derivatives, Spring 1998, with D. Rich. (1988)

“TIPP: Insurance Without Complexity,” The Journal of Portfolio Management, Summer 1988, with P. Estep.

“How to Build a Normal Portfolio in Three Easy Steps,” The Journal of Portfolio Management, Summer 1987.

Quantitative Methods for Financial Analysis, 1987 and 1990, Dow Jones-Irwin, with S. Brown.

“How to Detect Skill in Management Performance,” The Journal of Portfolio Management, Winter 1986

“Incentive Fees: Some Problems and Some Solutions,” Financial Analysts Journal, January-February 1987. (1986)

“What’s Wrong with Portfolio Insurance?” The Journal of Portfolio Management, Fall 1986.

“Can Bond Managers Perform Consistently?” The Journal of Portfolio Management, Summer 1983.

“Optimal Execution for Portfolio Transitions,” The Journal of Portfolio Management, with S. Myrgren and S. Page.

“Implementation Shortfall: from Concept to Theory,” forthcoming in The Journal of Portfolio Management, with S. Myrgren and S. Page.

“Mean Variance versus Full Scale Optimization: In and Out of Sample,” forthcoming in The Journal of Asset Management, with T. Adler.

“Portfolio Formation with Higher Moments and Plausible Utility,” working paper, with J-H Cremers and S. Page.

“Portfolio Rebalancing: A Scalable Solution,” forthcoming, Journal of Investment Management, with S. Myrgren and S. Page.

 

Contact Information
Office: E62-659
Tel: (617) 253-7125
Fax: (617) 258-6855
Support Staff
Name: Rianna Allen
Tel: (617) 452-3417
Group(s)

General Expertise
Asset management and pricing; Currency management; Financial engineering; Financial markets; Pension funds; Portfolio choice; Risk management