Mark Kritzman

Principal Components as a Measure of Systemic Risk

Mark Kritzman, Li Yuanzhen, Sébastien Page et al. · The Journal of Portfolio Management · 2011 · 297 citations

Empirical Finance, Financial Risk Management, Risk Metric +22

Skulls, Financial Turbulence, and Risk Management

Mark Kritzman, Li Yuanzhen · Financial Analysts Journal · 2010 · 210 citations

Empirical Finance, Economics, Financialization +15

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

Mark Kritzman, Sébastien Page, David Turkington · Financial Analysts Journal · 2010 · 162 citations

Computational Complexity Theory, Engineering, Analysis Of Algorithm +17

The Cost of Socially Responsible Investing

Timothy Adler, Mark Kritzman · The Journal of Portfolio Management · 2008 · 145 citations

Available Investment Universe, Environmental, Social, And Governance, Responsible Investing +17

Optimal Portfolios in Good Times and Bad

George K. Chow, Éric Jacquier, Mark Kritzman et al. · Financial Analysts Journal · 1999 · 139 citations

Covariance Matrix, Portfolio Management, New Covariance Matrix +21