[HTML][HTML] How the pandemic taught us to turn smart beta into real alpha

C Kantos, D DiBartolomeo - Journal of Asset Management, 2020 - Springer
The ongoing COVID-19 pandemic has strongly reminded equity investors that rare but
extreme events occur from time to time. At the individual firm level, such events also impact the …

[PDF][PDF] Socially screened portfolios: an attribution analysis of relative performance

L Kurtz, D DiBartolomeo - Journal of Investing, 1996 - northinfo.com
Equity portfolios whose selection of securities is subject to social responsibility screening
represent different sets of economic opportunities from, and hence generally produce different …

Approximating the confidence intervals for Sharpe style weights

A Lobosco, D DiBartolomeo - Financial Analysts Journal, 1997 - Taylor & Francis
Style analysis is a form of constrained regression that uses a weighted combination of market
indexes to replicate, as closely as possible, the historical return pattern of an investment …

Equity portfolio risk estimation using market information and sentiment

L Mitra, G Mitra, D Dibartolomeo¶ - Quantitative Finance, 2009 - Taylor & Francis
Equity portfolio management problems require fund managers to make decisions about what
portfolio to hold (ex-ante) without knowing what future equity returns will be. Though these …

Mutual fund misclassification: Evidence based on style analysis

D DiBartolomeo, E Witkowski - Financial Analysts Journal, 1997 - Taylor & Francis
Dan diBartolomeo and Erik Witkowski … Dan diBartolomeo is president and Erik Witkowski
is a senior research … their statistical significance, although diBartolomeo and Lobosco (1997) …

[PDF][PDF] Portfolio optimization: The robust solution

D DiBartolomeo - Prudential Securities Quantitative Conference, 1993 - northinfo.com
Investment practitioners who use mean-variance optimization techniques for portfolio construction
are often disappointed in the results. As many users of such algorithms swear at them …

Private Equity Benchmarking for Asset Owners and Investment Managers

E Belev, D DiBartolomeo - The Journal of Index Investing, 2021 - search.proquest.com
This works focuses on the challenges posed by benchmarking private equity performance
and the solutions that have evolved in practice. The paper puts the practical approaches used …

Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading

G Mitra, D di Bartolomeo, A Banerjee… - Available at SSRN …, 2015 - papers.ssrn.com
Computer trading in financial markets is a rapidly developing field with a growing number of
applications. Automated analysis of news and computation of market sentiment is a related …

Lean Advice for New Investors

J Wilcox, Z Bodie, D di Bartolomeo - Available at SSRN 4003544, 2022 - papers.ssrn.com
As defined benefit pensions have been replaced by investor-directed defined contribution
plans, implementing sound investment policies for retail investors of modest means has …

[HTML][HTML] Multiple alpha sources and portfolio design

M de Jong, D diBartolomeo - Journal of Asset Management, 2021 - Springer
The investment management profession has come a long way since Nobel Laureate Harry
Markowitz (1952) introduced Modern Portfolio Theory (MPT) in the early 1950s. At the time, …