In Defense of Optimization: The Fallacy of 1/N

M Kritzman, S Page, D Turkington - Financial Analysts Journal, 2010 - Taylor & Francis
Previous research has shown that equally weighted portfolios outperform optimized portfolios,
which suggests that optimization adds no value in the absence of informed inputs. This …

[BOOK][B] The Divergence of the High and Low Frequency Estimation: Causes and Consequences

W Kinlaw, M Kritzman, D Turkington - 2014 - boston.qwafafew.org
All underlying data is monthly from Jan 1990 through Dec 2013, except for private equity
and real estate which are quarterly from Q1 1996 through Q3 2013. Country equity data are …

Regime shifts: Implications for dynamic strategies (corrected)

M Kritzman, S Page, D Turkington - Financial Analysts Journal, 2012 - Taylor & Francis
Regime shifts present significant challenges for investors because they cause performance
to depart significantly from the ranges implied by long-term averages of means and …

[HTML][HTML] Correlation surprise

W Kinlaw, D Turkington - Journal of Asset Management, 2013 - Springer
Soon after Harry Markowitz published his landmark 1952 article on portfolio selection, the
correlation coefficient assumed vital significance as a measure of diversification and an input …

Decarbonization factors

…, BR LaPerla, G Serafeim, D Turkington… - The Journal of Impact …, 2021 - pm-research.com
In the face of accelerating climate change, investors are making capital allocations seeking
to decarbonize portfolios by reducing the carbon intensity of their holdings. To understand …

Decarbonizing everything

…, BR LaPerla, G Serafeim, D Turkington… - Financial Analysts …, 2021 - Taylor & Francis
We analyze how the use of different climate risk measures leads to different portfolio carbon
outcomes and risk-adjusted returns. Our findings are synthesized in a rules-based …

Liquidity and portfolio choice: A unified approach

…, M Kritzman, D Turkington - The Journal of Portfolio …, 2013 - jpm.pm-research.com
The authors propose a simple analytical construct for incorporating liquidity into portfolio
choice. In cases where investors deploy liquidity to raise a portfolio’s expected utility beyond its …

Beyond the black box: an intuitive approach to investment prediction with machine learning

Y Li, D Turkington, A Yazdani - The Journal of Financial Data …, 2019 - pm-research.com
The complexity of machine learning models presents a substantial barrier to their adoption for
many investors. The algorithms that generate machine learning predictions are sometimes …

[BOOK][B] A practitioner's guide to asset allocation

W Kinlaw, MP Kritzman, D Turkington - 2017 - books.google.com
Since the formalization of asset allocation in 1952 with the publication of Portfolio Selection
by Harry Markowitz, there have been great strides made to enhance the application of this …

[PDF][PDF] Toward determining systemic importance

…, M Kritzman, D Turkington - The Journal of …, 2012 - uat-globalmarkets.statestreet.com
Systemic risk is the risk that a relatively narrow shock, such as the failure of a particular
company, will propagate quickly and broadly throughout the financial system and to the real …