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The Journal of Portfolio Management

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Primary Article

The Hierarchy of Investment Choice

Mark Kritzman and Sébastien Page
The Journal of Portfolio Management Summer 2003, 29 (4) 11-23; DOI: https://doi.org/10.3905/jpm.2003.319891
Mark Kritzman
A managing partner at Windham Capital Management Boston in Cambridge (MA 02138).
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  • For correspondence: mkritzman@wcmbllc.com
Sébastien Page
A senior associate at State Street Associates in Cambridge (MA 02138).
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  • For correspondence: spage@statestreet.com
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Abstract

Which investment choice is most important? Is it allocation among broad asset classes, country allocation, choice of sector, or selection of individual securities? Many investors have a false impression of the relative importance of these choices for two reasons. First, investors fail to distinguish between the activities they choose to emphasize and those with the greatest potential to influence investment results. Second, to the extent that investors do measure the potential influence of an investment activity, they often base their choices on contrived portfolios that are unobtainable. Simulations including thousands of realistic portfolios help us determine the natural dispersion of performance arising from different investment activities, which makes it possible to evaluate the hierarchy of investment choice from a normative perspective.

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The Journal of Portfolio Management
Vol. 29, Issue 4
Summer 2003
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The Hierarchy of Investment Choice
Mark Kritzman, Sébastien Page
The Journal of Portfolio Management Jul 2003, 29 (4) 11-23; DOI: 10.3905/jpm.2003.319891

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The Hierarchy of Investment Choice
Mark Kritzman, Sébastien Page
The Journal of Portfolio Management Jul 2003, 29 (4) 11-23; DOI: 10.3905/jpm.2003.319891
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