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.
- 40.“Implementation Shortfall: from Concept to Theory”, M. Kritzman, S. Myrgren, and S. Page, The Journal of Portfolio Management, Fall 2006.
- 41.“Are Optimizers Error Maximizers: Hype versus Reality?”, M. Kritzman, The Journal of Portfolio Management, Summer 2006.
- 42.“Mean Variance versus Full Scale Optimization: In and Out of Sample”, T. Adler and M. Kritzman, The Journal of Asset Management, May 2006, with T. Adler.
- 43.“Countries Versus Industries in Emerging Markets: A Normative Portfolio Approach”, J. Estrada, M. Kritzman, and S. Page, The Journal of Investing, Winter 2006.
- 44.“Canada Unbound: Removing the Foreign Content restriction Rules”, M. Kritzman and S. Page, Canadian Investment Review, 2005.
- 45.“Re-engineering Investment Management” M. Kritzman and L. Thomas, The Journal of Portfolio Management, Fall 2004.
- 46.“Optimal Hedge Fund Allocations: Do Higher Moments Matter?” J. Cremers, M. Kritzman, and S. Page, The Journal of Portfolio Management, Spring 2005.
- 47.“Asset Allocation versus Security Selection: Evidence from Global Markets”, M. Kritzman and S. Page, The Journal of Asset Management, Winter 2003.
- 48.“The Hierarchy of Investment Choice: A Normative Interpretation”, M. Kritzman and S. Page, The Journal of Portfolio Management, Spring 2003, with S. Page.
- 49.“Technology and the Infrastructure of Financial Flows”, M. Kritzman, International Finance, Volume 6, Number 3, Winter 2003.
- 50.“The Mismeasurement of Risk”, D. Rich and M. Kritzman, Financial Analysts Journal, May-June 2002, with D. Rich.
- 51.“Value at Risk for Portfolios with Short Positions”, G. Chow and M. Kritzman, The Journal of Portfolio Management, Spring 2002.
- 52.“Risk, Regimes, and Overconfidence”, K. Lowry, M. Kritzman, and A-S Van Royen, The Journal of Derivatives, Spring 2001.
- 53.“Risk Budgets”, G. Chow and M. Kritzman, The Journal of Portfolio Management, Winter 2001.
- 54.“Currency Hedging and the Risk of Loss”, M. Kritzman, The Journal of Alternative Investments, Winter 2000.
- 55.“Toward Defining an Asset Class,” The Journal of Alternative Investments, Summer 1999.
- 56.“Optimal Portfolios in Good Times and Bad”, G. Chow, E. Jacquier, M. Kritzman, and K. Lowry, Financial Analysts Journal, May-June 1999.
- 57.“Beware of Dogma: The Truth about Time Diversification”, D. Rich and M. Kritzman, The Journal of Portfolio Management Summer 1998.
- 58.“Risk Containment for Investors with Multivariate Utility Functions”, M. Kritzman and D. Rich, The Journal of Derivatives, Spring 1998.
- 59."Review of Pension Schemes and Pension Funds in the United Kingdom by David Blake", M. Kritzman, The Journal of Finance, 1996.
- 60.“What Practitioners Need to Know… About Event Studies”, M. Kritzman, Financial Analysts Journal, November-December 1994.
- 61.“What Practitioners Need to Know… About Higher Moments”, M. Kritzman, Financial Analysts Journal, September-October 1994.
- 62.“What Practitioners Need to Know… About Hypothesis Testing”, M. Kritzman, Financial Analysts Journal , July- August 1994.
- 63.“What Practitioners Need to Know…About Future Value”, M. Kritzman, Financial Analysts Journal, May-June 1994.
- 64.“What Practitioners Need to Know…About Serial Dependence”, M. Kritzman, Financial Analysts Journal , March-April 1994.
- 65.“What Practitioners Need to Know… About Time Diversification”, M. Kritzman, Financial Analysts Journal, January-February 1994.
- 66.“What Practitioners Need to Know… About Monte Carlo Simulation”, M. Kritzman, Financial Analysts Journal, Novermber- December 1993.
- 67.“The Minimum-Risk Currency Hedge Ratio and Foreign Asset Exposure”, M. Kritzman, Financial Analysts Journal, September-October 1993.
- 68.“What Practitioners Need to Know…About The Term Structure of Interest Rates”, M. Kritzman, Financial Analysts Journal , September-October 1993.
- 69.“The Optimal Currency Hedging Policy with Biased Forward Rates”, M. Kritzman, The Journal of Portfolio Management, Summer 1993.
- 70.“What Practitioners Need to Know…About Return and Risk”, M. Kritzman, Financial Analysts Journal , May-June 1993.
- 71.“What Practitioners Need to Know… About Commodity Futures Contracts”, M. Kritzman, Financial Analysts Journal, March-April 1993.
- 72.“What Practitioners Need to Know… About Option Replication”, M. Kritzman, Financial Analysts Journal, July-August 1993.
- 73.“What Practitioners Need to Know…About Factor Models”, M. Kritzman, Financial Analysts Journal , January-February 1993.
- 74.“What Practitioners Need to Know…About Duration and Convexity”, M. Kritzman, Financial Analysts Journal, November- December 1992.
- 75.“What Practitioners Need to Know… About Optimization”, M. Kritzman, Financial Analysts Journal, September-October 1992.
- 76.“What Practitioners Need to Know… About Lognormality”, M. Kritzman, Financial Analysts Journal, January-February 1992.
- 77.“What Practitioners Need to Know… About Hedging”, M. Kritzman, Financial Analysts Journal, July-August 1992.
- 78.“What Practitioners Need to Know…About Utility”, M. Kritzman, Financial Analysts Journal , May-June 1992.
- 79.“What Practitioners Need to Know… About Currencies”, M. Kritzman, Financial Analysts Journal, March-April 1992.
- 80.“What Practitioners Need to Know….About Estimating Volatility, Part 2", M. Kritzman, Financial Analysts Journal , September-October 1991.
- 81.“What Practitioners Need to Know… About Estimating Volatility, Part 1”, M. Kritzman, Financial Analysts Journal July-August 1991.
- 82.“What Practitioners Need to Know….About Regressions”, M. Kritzman, Financial Analysts Journal , May-June 1991.
- 83.“What Practitioners Need to Know…About Uncertainty”, M. Kritzman, Financial Analysts Journal , March-April 1991.
- 84.“What Practitioners Need to Know… About The Nobel Prize”, M. Kritzman, Financial Analysts Journal, Novermber-December 1989.
- 85.“A Simple Solution for Optimal Currency Hedging”, M. Kritzman, Financial Analysts Journal, November-December 1989.
- 86.“Serial Dependence in Currency Returns: Investment Implications”, M. Kritzman, The Journal of Portfolio Management , Fall 1989.
- 87.“TIPP: Insurance Without Complexity”, M. Kritzman, The Journal of Portfolio Management , Summer 1988, with P. Estep.
- 88.“How to Build a Normal Portfolio in Three Easy Steps”, M. Kritzman, The Journal of Portfolio Management , Summer 1987.
- 89.“Incentive Fees: Some Problems and Some Solutions”, M. Kritzman, Financial Analysts Journal, January-February 1987.
- 90.“How to Detect Skill in Management Performance”, M. Kritzman, The Journal of Portfolio Management , Winter 1986.
- 91.“What's Wrong with Portfolio Insurance?”, M. Kritzman, The Journal of Portfolio Management , Fall 1986.
- 92.“Can Bond Managers Perform Consistently?”, M. Kritzman, The Journal of Portfolio Management , Summer 1983.
For a running list of working papers, please see
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2928828
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2315981


Last modified 4mo ago