April 1, 2019
Journal Articles
Complimentary CONTENT
Risk Disparity
By: Mark Kritzman, State Street Associates
April 1, 2019
By: Mark Kritzman, State Street Associates
Awards Bernstein-Fabozzi/Jacobs-Levy Award
For Outstanding Article in the Journal of Portfolio Management in 2014
By Mark Kritzman
Published in the Journal of Portfolio Management, Fall 2013 and recipient of the 2014 Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.
We offer empirical evidence of the inter-temporal disparity of a policy portfolio’s risk profile and propose a solution to this problem.
Author Bios
Mark Kritzman
Mark Kritzman is a senior lecturer at MIT Sloan School of Management and a founding partner of State Street Associates
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.