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 …

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 …

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 …

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 …

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 …

… Mark Kritzman, CFA, is a Partner at Windham Capital Management. … Kritzman, “What
Practitioners Need to Know About Uncertainty,” Financial Analysts Journal, March/April 1991 …

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 …

Perhaps the most universally accepted precept of prudent investing is to diver-sify, yet this
precept grossly oversimplifies the challenge of portfolio construction. Consider a typical …

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, …

Gary Gastineau and Mark Kritzman team up once again for the third edition of this classic
reference tool designed for financial analysts and managers. Anyone involved in financial risk …