Academics and practitioners have made great strides in applying modern portfolio theory to structure efficient, real-world portfolios. Yet many crucial challenges still remain. Mark Kritzman will share insights from his new book with Will Kinlaw and David Turkington, A Practitioner’s Guide to Asset Allocation. First, he will discuss a collection of stubbornly persistent fallacies including the notion that asset allocation explains more than 90 percent of performance, that time diversifies risk, that optimization is hypersensitive to estimation error, and that factors provide greater diversification than assets. Second, he will show how to construct palatable portfolios without resorting to arbitrary constraints, how to convert liquidity into return and risk, and how to use regime forecasts to dynamically adjust allocations.
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Asset Allocation: Fallacies, Challenges, and Solutions
March 27, 2018 @ 5:30 pm - 7:30 pm| $20
The Speaker: Mark Kritzman, CFA, CEO, Windham Capital Management
MARK KRITZMAN is CEO of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and he teaches a graduate finance course at the Massachusetts Institute of Technology.
Mark served as a Founding Director of the International Securities Exchange and has served on several boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is also a member of several advisory and editorial boards, including the Advisory Board of GIC, the Advisory Board of the MIT Sloan Finance Group, the Advisory Board of the Tobin School of Business, the Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management. He has written numerous articles for academic and professional journals and is the author or co-author of seven books including A Practitioner’s Guide to Asset Allocation, Puzzles of Finance, and The Portable Financial Analyst.
Mark won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award nine times, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia.
Mark has a BS in economics from St. John’s University, an MBA with distinction from New York University, and a CFA designation.
How to Pay
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you can also pay $20 at the door for the event, Or, $60 for the whole year
registration fee includes refreshments