Thomas M. Idzorek

Morningstar Investment Management

22 W Washington Street

Chicago, IL 60602

United States

  • Morningstar Investment Management

SCHOLARLY PAPERS

15

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3,223

SSRN CITATIONS
Rank 37,132

SSRN RANKINGS

Top 37,132

in Total Papers Citations

15

CROSSREF CITATIONS

8

Scholarly Papers (15)

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1.

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 889 (45,239)
Citation 11

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2.

The Popularity Asset Pricing Model

Number of pages: 40 Posted: 19 Sep 2019 Last Revised: 26 Oct 2021
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 736 (58,415)
Citation 3

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popularity, asset pricing theory, CAPM, heterogeneous expectations/ disagreement, preferences / tastes, behavioral finance

3.

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
Roger G. Ibbotson, Thomas M. Idzorek, Paul D. Kaplan and James X. Xiong
Yale School of Management, Morningstar Investment Management, Morningstar Canada and Morningstar Investment Management
Downloads 660 (67,198)
Citation 3

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4.

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 498 (95,645)
Citation 6

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Liquidity, Stocks, Portfolio Management, Mutual Funds

5.

Research Foundation Review 2018

CFA Institute Research Foundation Review 2018
Number of pages: 94 Posted: 23 Oct 2019
Paul Smith, Theodore R. Aronson, Bud Haslett, Laurence B. Siegel, Donald R. Chambers, Keith Black, Nelson J. Lacey, Ronald N. Kahn, Roger G. Ibbotson, Thomas M. Idzorek, Paul D. Kaplan, James X. Xiong, Ying L. Becker, Marc R. Reinganum, Martin S. Fridson, Mauro Costa Miranda, Michael Greis, Elke U. Weber, Joachim Klement, Momtchil Pojarliev and Joanne M. Hill
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, Liberum Capital, Fischer Francis Trees & Watts, Inc. and ProShare Advisors LLC
Downloads 153 (317,019)

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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

6.

ESG Role in Equity Performance in Private Market, Primary Market and Secondary Market

Number of pages: 25 Posted: 07 Aug 2023
Albert Zhao and Thomas M. Idzorek
Morningstar Investment Management, LLC. and Morningstar Investment Management
Downloads 104 (423,908)

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ESG, IPO, Private Equity, Impact Investing, Primary Market

7.

The CAPM, APT, and PAPM

Number of pages: 43 Posted: 09 Sep 2023
Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Canada and Yale School of Management
Downloads 81 (497,357)

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Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), asset pricing theory, heterogeneous expectations/ disagreement, preferences / tastes, Popularity Asset Pricing Theory (PAPM)

8.

Joining Lifecycle Models with Mean-Variance Optimization

Number of pages: 24 Posted: 18 Jun 2023
Paul D. Kaplan and Thomas M. Idzorek
Morningstar Canada and Morningstar Investment Management
Downloads 43 (682,873)

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lifecycle finance; mean-variance optimization

9.

Personalized Multiple Account Portfolio Optimization

Financial Analysts Journal, Volume 79, Issue 3, 155-170, 2023. https://doi.org/10.1080/0015198X.2023.2212581
Number of pages: 39 Posted: 20 Aug 2023 Last Revised: 21 Aug 2023
Thomas M. Idzorek
Morningstar Investment Management
Downloads 36 (722,498)
Citation 1

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alpha-tracking error optimization; asset location; fund-of-funds optimizer; manager structure optimization; rebalancing; tax efficiency; tax loss harvesting; transition management

10.

The Diminishing Role of Active Mutual Funds: Flows and Returns

Number of pages: 45 Posted: 13 Aug 2023
James X. Xiong, Thomas M. Idzorek and Roger G. Ibbotson
Morningstar Investment Management, Morningstar Investment Management and Yale School of Management
Downloads 23 (823,372)

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active mutual fund, fund alpha, fund flow, flow impact

11.

Forming ESG-Oriented Portfolios: A Popularity Approach

The Journal of Investing 30th Anniversary Special Issue 2022, 31 (4) 63-75; DOI: https://doi.org/10.3905/joi.2022.31.4.063
Posted: 08 Jun 2022
Thomas M. Idzorek and Paul D. Kaplan
Morningstar Investment Management and Morningstar Canada

Abstract:

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12.

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

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Diversification; Skewness Loss; Non-Normal Option Pricing

13.

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

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Volatility, Tail Risk, Equity funds

14.

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

15.

The Equal Importance of Asset Allocation and Active Management

Downloads 0 (1,028,065)

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

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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