This portfolio approach accounts for ‘shocks and drifts’
Better than mean variance? This approach to portfolio formation accounts for shocks like pandemics and “drifts” like climate change.
Faculty
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.
Czasonis, Megan, Mark Kritzman, and David Turkington, MIT Sloan Working Paper 6794-22. Cambridge, MA: MIT Sloan School of Management, October 2022.
Alsweilem, Khalid, Mark Kritzman, and Malan Rietveld, MIT Sloan Working Paper 6828-22. Cambridge, MA: MIT Sloan School of Management, September 2022.
Kinlaw, William, Mark Kritzman, Michael Metcalfe, and David Turkington, MIT Sloan Working Paper 6730-22. Cambridge, MA: MIT Sloan School of Management, June 2022.
Czasonis, Megan, Mark Kritzman, and David Turkington, MIT Sloan Working Paper 6700-22. Cambridge, MA: MIT Sloan School of Management, May 2022. Download Paper.
Kritzman, Mark and David Turkington, MIT Sloan Working Paper 6416-21. Cambridge, MA: MIT Sloan School of Management, May 2021. Download Paper.
Czasonis, Megan, Mark Kritzman, Baykan Pamir, and David Turkington, MIT Sloan Working Paper 6418-21. Cambridge, MA: MIT Sloan School of Management, March 2021.
Better than mean variance? This approach to portfolio formation accounts for shocks like pandemics and “drifts” like climate change.
The latest working papers from MIT Sloan faculty about the coronavirus/COVID-19 pandemic.