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Risk, Regimes, and Overconfidence

By Mark Kritzman, State Street Associates

Apr 1, 2019

By Mark Kritzman, Kenneth Lowry, and Anne-Sophie Van Royen

Published in the Journal of Derivatives, Spring 2001

The authors argue that the perception of risk as fully represented by the distribution of terminal wealth, together with the assumption of a single regime, leads to overconfidence.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.