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The myth of diversification
Chua, David B.; Kritzman, Mark; Page, Sébastien - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10003909563
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Portfolio rebalancing : a test of the Markowitz-van Dijk heuristic
Kritzman, Mark (contributor); Myrgren, Simon (contributor);  … - 2007 - This version: March 15th, 2007
Persistent link: https://www.econbiz.de/10003745526
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Principal components as a measure of systemic risk
Kritzman, Mark; Li, Yuanzhen; Page, Sébastien; … - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 112-126
Persistent link: https://www.econbiz.de/10009273877
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Regime shifts : implications for dynamic strategies
Kritzman, Mark; Page, Sébastien; Turkington, David - In: Financial analysts' journal : FAJ 68 (2012) 3, pp. 22-39
Persistent link: https://www.econbiz.de/10009680635
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Market integration in developed and emerging markets : evidence from the CAPM
Bruner, Robert F.; Li, Wei; Kritzman, Mark; Myrgren, Simon - In: Emerging markets review 9 (2008) 2, pp. 89-103
Persistent link: https://www.econbiz.de/10003723962
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The myth of diversification reconsidered
Kinlaw, William; Kritzman, Mark; Page, Sébastien; … - In: The journal of portfolio management : JPM 47 (2021) 8, pp. 124-137
Persistent link: https://www.econbiz.de/10012613448
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Optimal rebalancing : a scalable solution
Kritzman, Mark; Myrgren, Simon; Page, Sébastien - In: Journal of investment management : JOIM 7 (2009) 1, pp. 9-19
Persistent link: https://www.econbiz.de/10003845497
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In defense of optimization: the fallacy of 1/N
Kritzman, Mark; Page, Sébastien; Turkington, David - In: Financial analysts' journal : FAJ 66 (2010) 2, pp. 31-39
Persistent link: https://www.econbiz.de/10003967805
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Market integration in developed and emerging markets: Evidence from the CAPM
Bruner, Robert F.; Li, Wei; Kritzman, Mark; Myrgren, Simon - In: Emerging Markets Review 9 (2008) 2, pp. 89-103
Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the...
Persistent link: https://www.econbiz.de/10005082134
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PORTFOLIO CONSTRUCTION - IMPLEMENTATION SHORTFALL
Kritzman, Mark; Mypgren, Simon; Page, Sébastien - In: The journal of portfolio management : a publication of … 33 (2006) 1, pp. 25-30
Persistent link: https://www.econbiz.de/10007384435