Mark Kritzman

Best Publications

• Principal Components as a Measure of Systemic Risk

  Mark Kritzman;Yuanzhen Li;Sébastien Page;Roberto Rigobon

  448
  Citations

• Skulls, Financial Turbulence, and Risk Management

  Mark Kritzman;Yuanzhen Li

  283
  Citations

• Optimal Portfolios in Good Times and Bad

  George Chow;Eric Jacquier;Mark Kritzman;Kenneth Lowry

  196
  Citations

• The Cost of Socially Responsible Investing

  Timothy Adler;Mark Kritzman

  180
  Citations

• In Defense of Optimization: The Fallacy of 1/<i>N</i>

  Unknown

  164
  Citations

• Introduction to 'Valuation in Emerging Markets'

  Robert F. Bruner;Robert M. Conroy;Javier Estrada;Mark Kritzman

  138
  Citations

• Regime Shifts: Implications for Dynamic Strategies (corrected)

  Mark Kritzman;Sébastien Page;David Turkington

  127
  Citations

• Market integration in developed and emerging markets: Evidence from the CAPM

  Robert F. Bruner;Wei Li;Mark Kritzman;Simon Myrgren

  125
  Citations

• Optimal Hedge Fund Allocations

  Jan-Hein Cremers;Mark Kritzman;Sébastien Page

  123
  Citations

• Principal Components as a Measure of Systemic Risk

  Mark Kritzman;Yuanzhen Li;Sebastien Page;Roberto Rigobon;Roberto Rigobon

  98
  Citations

• TIPP: Insurance without complexity

  Tony Estep;Mark Kritzman

  95
  Citations

• The Mismeasurement of Risk

  Mark Kritzman;Don Rich

  94
  Citations

• Mean-variance versus full-scale optimisation: In and out of sample

  Timothy Adler;Mark Kritzman

  92
  Citations

• Regime Shifts: Implications for Dynamic Strategies

  Mark Kritzman;Sebastien Page;David Turkington

  87
  Citations

• The Myth of Diversification

  David B Chua;Mark Kritzman;Sébastien Page

  82
  Citations

• Optimal Hedge Fund Allocations: Do Higher Moments Matter?

  Jan-Hein Cremers;Mark Kritzman;Sebastien Page

  77
  Citations

• The Optimal Currency Hedging Policy with Biased Forward Rates

  Mark Kritzman

  75
  Citations

• What Practitioners Need to Know . . . About Time Diversification (corrected)

  Mark Kritzman

  74
  Citations

• Incentive Fees: Some Problems and Some Solutions

  Mark P. Kritzman

  74
  Citations

• Valuation in Emerging Markets

  Robert F. Bruner;Robert M. Conroy;Javier Estrada;Mark Kritzman

  71
  Citations