Risk, Regimes, and Overconfidence

  • Mark Kritzman
  • Kenneth Lowry
  • Anne-Sophie Van Royen
Part of the The New York University Salomon Center Series on Financial Markets and Institutions book series (SALO, volume 8)


Investors typically think of risk as the uncertainty of wealth at the end of their investment horizon. By focusing on the dispersion of ending wealth, investors ignore the effect of interim losses, no matter how severe. Investors also measure risk as though returns come from a single regime, which may understate the likelihood and severity of interim losses.


Turbulent Regime Asset Class Return Series Investment Horizon Investment Period 
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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Mark Kritzman
    • 1
  • Kenneth Lowry
    • 2
  • Anne-Sophie Van Royen
    • 3
    • 4
  1. 1.Windham Capital Management BostonCambridgeUSA
  2. 2.State Street BankBostonUSA
  3. 3.Windham Capital Management BostonUSA
  4. 4.State Street AssociatesCambridgeUSA

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