Asset Allocation
General
Portfolio Construction
Reading Resources
Windham Labs: Thought Leadership in Asset Allocation and Risk Management.
Windham Insights
We are an ardent team of quant finance analysts with extensive experience in strategic asset allocation, risk management, and technology. This repository serves our collection of articles that you may find useful to support your asset management or analytics process - explore using the list of articles in the navigation menu on the left.
Books
Mark Kritzman is a Founding Partner of Windham Labs, Windham Capital Management, State Street Associates, and teaches a graduate finance course at the Massachusetts Institute of Technology. He has published eight books, including, most recently, Asset Allocation: From Theory to Practice and Beyond, Practitioner’s Guide to Asset Allocation and The Portable Financial Analyst, and has received several prestigious awards. His innovative research, extensive publications, and investment acumen make him one of the foremost figures in his field.
Asset Allocation: From Theory to Practice and Beyond (2021)
In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation.
Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest.
A Practitioner's Guide to Asset Allocation (2017)
​A Practitioner's Guide to Asset Allocation also explores the innovations that address key challenges to asset allocation and presents an alternative optimization procedure to address the idea that some investors have complex preferences and returns may not be elliptically distributed. Among the challenges highlighted, the authors explain how to overcome inefficiencies that result from constraints by expanding the optimization objective function to incorporate absolute and relative goals simultaneously. The text also explores the challenge of currency risk, describes how to use shadow assets and liabilities to unify liquidity with expected return and risk, and shows how to evaluate alternative asset mixes by assessing exposure to loss throughout the investment horizon based on regime-dependent risk. This practical text contains an illustrative example of asset allocation which is used to demonstrate the impact of the innovations described throughout the book.
The Portable Financial Analyst (2007)
Financial professionals are faced with increasingly technical topics that are theoretically complicated but practically necessary in determining the trade-off between risk and return. The Portable Financial Analyst, Second Edition is a unique collection of essays that address the heart of every analyst's and investor's dilemma: how to make decisions in the face of unknown forces and how to assert some control over the outcome
Puzzles of Finance (2000)
​Puzzles of Finance takes on today's most persistently challenging financial questions and, through clever examples and just plain logic, helps you move beyond those questions to arrive at a deeper understanding of finance and the daily management of money. From Siegel's Paradox ("Is it possible to profit from asymmetry of exchange rate changes?") to questions of option value ("Why is the value of an option unaffected by the underlying asset's expected return?"), Puzzles of Finance goes beyond vague theoretical suppositions to supply practical, concrete solutions that investors and money managers can benefit from every day. While the intellectually curious will be drawn to Puzzles of Finance, it is the day-to-day finance professional who will derive the most benefit from this remarkable book.
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