Thomas M. Idzorek

Morningstar Investment Management

22 W Washington Street

Chicago, IL 60602

United States

Ibbotson Associates - A Morningstar Company

Chief Investment Officer / Director of Research

225 North Michigan Avenue

Suite 700

Chicago, IL 60601

United States

http://www.ibbotson.com

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 49,102

SSRN RANKINGS

Top 49,102

in Total Papers Downloads

857

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (9)

1.

Liquidity Style of Mutual Funds

Number of pages: 18 Posted: 28 Mar 2011 Last Revised: 17 Feb 2012
Thomas M. Idzorek, James X. Xiong and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management
Downloads 436 (68,295)
Citation 5

Abstract:

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Liquidity, Stocks, Portfolio Management, Mutual Funds

2.

Popularity: A Bridge between Classical and Behavioral Finance

CFA Institute Research Foundation Publications, December 2018, ISBN 978-1-944960-60-5
Number of pages: 163 Posted: 23 Oct 2019
Yale School of Management, Morningstar Investment Management, Morningstar Canada and Morningstar Investment Management
Downloads 254 (125,130)
Citation 2

Abstract:

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3.

Research Foundation Review 2018

CFA Institute Research Foundation Review 2018
Number of pages: 94 Posted: 23 Oct 2019
CFA Institute, CFA Institute Research Foundation, CFA Institute Research Foundation, CFA Institute Research Foundation, Chartered Alternative Investment Analyst Association (CAIA), Chartered Alternative Investment Analyst Association (CAIA), Chartered Alternative Investment Analyst Association (CAIA), BlackRock, Inc - San Francisco, Yale School of Management, Morningstar Investment Management, Morningstar Canada, Morningstar Investment Management, IBS, Driehaus Capital Management LLC, Lehmann, Livian, Fridson Advisors LLC, Government of the Federative Republic of Brazil - Central Bank of Brazil, Independent, Princeton University - Department of Psychology, Fidante Partners, Fischer Francis Trees & Watts, Inc. and ProShare Advisors LLC
Downloads 65 (355,307)

Abstract:

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CFA Institute, CFA Institute research foundation, alternative investing, active indexing, ETF, financial crisis, high yield, latin america, sustainable investing, risk tolerance, risk profiling, currency hedging, quantitative investing, alternative investing, popularity, ibbotson

4.

The PAPM with Heterogeneous Preferences and Expectations

Number of pages: 32 Posted: 19 Sep 2019 Last Revised: 04 Nov 2019
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 52 (395,750)

Abstract:

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Heterogeneous Expectations, CAPM, pricing models, PAPM, Multiple Security Characteristics, Diverse opinions

5.

A Step-By-Step Guide to the Black-Litterman Model Incorporating User-specified Confidence Levels

Number of pages: 34 Posted: 12 Nov 2019
Thomas M. Idzorek
Morningstar Investment Management
Downloads 50 (402,634)
Citation 2

Abstract:

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6.

Quantifying the Skewness Loss of Diversification

Forthcoming in the Journal of Investment Management
Posted: 05 Jun 2018
James X. Xiong and Thomas M. Idzorek
Morningstar Investment Management and Morningstar Investment Management

Abstract:

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Diversification; Skewness Loss; Non-Normal Option Pricing

7.

Volatility vs. Tail Risk: Which One is Compensated in Equity Funds?

Journal of Portfolio Management, Forthcoming
Posted: 05 Jun 2013
James X. Xiong, Thomas M. Idzorek and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management

Abstract:

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Volatility, Tail Risk, Equity funds

8.

The Impact of Skewness and Fat Tails on the Asset Allocation Decision

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
James X. Xiong and Thomas M. Idzorek
Morningstar Investment Management and Morningstar Investment Management

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Portfolio Management: Asset Allocation, Quantitative Methods, Basic Statistical and Probability Concepts, Measures of Kurtosis, Measures of Skewness

The Equal Importance of Asset Allocation and Active Management

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 02 Apr 2010
Thomas M. Idzorek, Peng Chen, James X. Xiong and Roger G. Ibbotson
Morningstar Investment Management, Ibbotson Associates, Morningstar Investment Management and Yale School of Management

Abstract:

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The Equal Importance of Asset Allocation and Active Management

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 16 Apr 2010
James X. Xiong, Roger G. Ibbotson, Thomas M. Idzorek and Peng Chen
Morningstar Investment Management, Yale School of Management, Morningstar Investment Management and Ibbotson Associates

Abstract:

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Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation