Based on a methodology introduced in 1927 to analyze human skulls and later applied to
turbulence in financial markets, this study shows how to use a statistically derived measure of …

… Mark Kritzman, CFA, is president and CEO of Windham Capital Management, Cambridge,
Massachusetts. Sébastien Page, CFA, is senior managing director and David Turkington, CFA…

The US government’s failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …

In this article, the authors estimate the cost of practicing socially responsible investing.
Using these results, investors may determine whether imposing restrictions on the available …

Recent experience with emerging market investments and hedge funds has highlighted the
fact that risk parameters are unstable. To address this problem, we introduce a procedure for …

… Rather, we extended the Kritzman and Li (2010) approach by using Markov-switching models
to reallocate dynamically across event-sensitive portfolios. To avoid overfitting, we did not …

… Mark Kritzman, CFA, is a Partner at Windham Capital Management. … For a review of the
relation between probability estimation and the dispersion of returns, see M. Kritzman, “What …

Event studies measure the relationship between an event that affects securities and the
return of those securities. Some events, such as a regulatory change or an economic shock, …

The purpose of the Batten Institute/Association for Investment Management and Research/Emerging
Markets Review conference was to examine the challenges of valuing assets in …

Time-Invariant Portfolio Protection (TIPP) is a technique of insurance which differs from the
complex methods of put replication adopted by some fund managers. Put replication is …