June 1, 2016
Journal Articles
Complimentary CONTENT
Stability-Adjusted Portfolios
By: Mark Kritzman, David Turkington, State Street Associates
June 1, 2016
By: Mark Kritzman, David Turkington, State Street Associates
Awards Bernstein-Fabozzi/Jacobs-Levy Award
For Outstanding Article in the Journal of Portfolio Management in 2016
By Mark Kritzman and David Turkington
Published in the Journal of Portfolio Management, 2016
We introduce a methodology for incorporating estimation error in covariances into the portfolio formation process.
Author Bios
Mark Kritzman
Mark Kritzman is a senior lecturer at MIT Sloan School of Management and a founding partner of State Street Associates
David Turkington
David Turkington is Senior Managing Director and Head of State Street Associates at State Street Markets
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.