List of Publications
Our publications on reading matter in portfolio theory and economics.
- Prediction Revisited: The Importance of Observation, M. Czasonis, M. Kritzman, and D. Turkington, John Wiley & Sons 2022.
- Asset Allocation: From Theory to Practice and Beyond, W. Kinlaw, M. Kritzman, and D. Turkington, John Wiley & Sons 2021.
- Practitioner’s Guide to Asset Allocation, W. Kinlaw, M. Kritzman, and D. Turkington, John Wiley & Sons 2017.
- The Role of Currency in Institutional Portfolios, M. Kritzman (contributing author), Incisive Media 2014.
- Optimizing Optimization, M. Kritzman (contributing author), Elsevier Limited 2010.
- The Portable Financial Analyst, 2nd edition, M. Kritzman, John Wiley & Sons 2003.
- Puzzles of Finance, M. Kritzman, John Wiley & Sons 2000.
- Currency Management: Concepts and Practices, R. Clarke and M. Kritzman, AIMR 1996.
- Dictionary of Financial Risk Management, G. Gastineau and M. Kritzman, Frank J. Fabozzi Associates 1996.
- The Portable Financial Analyst, M. Kritzman, McGraw Hill 1995.
- Asset Allocation for Institutional Portfolios, M. Kritzman, Richard D. Irwin, Inc. 1990.
- Quantitative Methods for Financial Analysis, S. Brown and M. Kritzman, Dow Jones-Irwin 1987.
- 1."Portfolio Construction When Regimes are Ambiguous", M. Kritzman, C. Kulasekaran, D. Turkington, MIT Sloan Working Paper 6845-23, April 2023.
- 2."Relevance-Based Prediction: A Transparent and Adaptive Alternative to Machine Learning", M. Czasonis, M. Kritzman, and D. Turkington, The Journal of Financial Data Science, Winter 2023.
- 3."Optimal Multi-Horizon Portfolios with Forward-Looking Expectations and Loss Aversion: An Application to Sovereign Wealth Funds", K. Alsweilem, M. Kritzman, and M. Rietveld, MIT Golub Center for Finance and Policy, November 2022.
- 4."Severe but Plausible - or Not?", S. Gavell, M. Kritzman, and C. Kulasekaran, Journal of Risk, February 2022.
- 5."Relevance", M. Czasonis, M. Kritzman, and D. Turkington, The Journal of Investment Management, First Quarter 2022.
- 6."History, Shocks, and Drifts: A New Approach to Portfolio Formation", M. Kritzman and D. Turkington, The Journal of Portfolio Management, February 2022.
- 7."Private Equity and the Leverage Myth", M. Czasonis, W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Alternative Investments, Winter 2021.
- 8."The Myth of Diversification Reconsidered", W. Kinlaw, M. Kritzman, S. Page, and D. Turkington, The Journal of Portfolio Management, August 2021.
- 9."A New Index of the Business Cycle", W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Investment Management, Third Quarter 2021.
- 10."Optimal Currency Hedging: Horizon Matters", N. Arruda, A. Bergeron, and M. Kritzman, The Journal of Alternative Investments, Spring 2021.
- 11."The Role of Factors in Asset Allocation", M. Kritzman, The Journal of Portfolio Management, Investment Models 2021.
- 12."The Stock-Bond Correlation", M. Czasonis, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, February 2021.
- 13."Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)", M. Czasonis, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, September 2020.
- 14."Enhanced Scenario Analysis", M. Czasonis, M. Kritzman, B. Pamir, and D. Turkington, The Journal of Portfolio Management, March 2020.
- 15."Target-Date Funds, Glidepaths, and Risk Aversion", J. Estrada and M. Kritzman, The Journal of Wealth Management, Winter 2020.
- 16."Crowded Trades: Implications for Sector Rotation and Factor Timing", W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, July 2019.
- 17."Toward Determining the Optimal Investment Strategy for Retirement", J. Estrada and M. Kritzman, The Journal of Retirement, Summer 2019.
- 18."Private Equity Valuations and Public Equity Performance", M. Czasonis, M. Kritzman, and D. Turkington, The Journal of Alternative Investments, Summer 2019.
- 19.“Asset Allocation and Factor Investing: An Integrated Approach” A. Bergeron, M. Kritzman, and G. Sivitsky, The Journal of Portfolio Management Quantitative Special Issue, 2018.
- 20."A Comparative Analysis of Performance Fees", M. Czasonis, M. Kritzman, B. Pamir, and D. Turkington, The Journal of Portfolio Management, Summer 2018.
- 21.“Target-Date Funds: A Regime-Based Approach” M. Kritzman, The Journal of Retirement, Summer 2017
- 22.“The Components of Private Equity Performance: Implications for Portfolio Choice”, W. Kinlaw, M. Kritzman, and J. Mao, The Journal of Alternative Investments, Fall 2015.
- 23.“The Divergence of High and Low-Frequency Estimation: Implications for Performance Measurement”, W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, Spring 2015.
- 24.“Risk Disparity,” M. Kritzman, The Journal of Portfolio Management, Summer 2013.
- 25.“Liquidity and Portfolio Choice: A Unified Approach”, W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, Winter 2013.
- 26.“Toward Determining Systemic Importance,” W. Kinlaw, M. Kritzman, and D. Turkington, The Journal of Portfolio Management, Summer 2012.
- 27.“Regime Shifts: Implications for Dynamic Strategies”, M. Kritzman, S. Page, and D. Turkington, Financial Analysts Journal, May-June 2012.
- 28.“Two Things about Performance Fees”, M. Kritzman, The Journal of Portfolio Management, Winter 2012.
- 29.“Long Live Quantitative Models!”, M. Kritzman, Financial Analysts Journal, July-August 2011.
- 30.“The Graceful Aging of Mean-Variance Optimization”, M. Kritzman, The Journal of Portfolio Management, Winter 2011.
- 31.“Post-Crisis Investment Management”, M. Kritzman, Financial Analysts Journal, July-August 2011.
- 32.“The Future of Finance”, D. Chua, M. Kritzman, and S. Page, Journal of Investment Management, Fall 2009.
- 33.“Principal Components as a Measure of Systemic Risk”, M. Kritzman, Y. Li, S. Page, and R. Rigobon, The Journal of Portfolio Management, Summer 2011.
- 34.“The Fallacy of 1/N”, M. Kritzman, S. Page, and D. Turkington, Financial Analysts Journal , March-April 2010.
- 35.“Skulls, Financial Turbulence, and Risk Management”, M. Kritzman and Y. Li, Financial Analysts Journal , September-October 2010.
- 36.“The Myth of Diversification,” D. Chua, M. Kritzman, and S. Page, The Journal of Portfolio Management , Fall 2009.
- 37.“Optimal Rebalancing: A Scalable Solution”, M. Kritzman, S. Myrgren, and S. Page, Journal of Investment Management , First Quarter 2009.
- 38.“Optimal Currency Hedging: In and Out of Sample”, W. Kinlaw and M. Kritzman, The Journal of Asset Management, April 2009.
- 39.“Optimal Execution for Portfolio Transitions”, M. Kritzman, S. Myrgren, and S. Page, The Journal of Portfolio Management, Spring 2007.
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