Research


Bubble, Rubble, Finance In Trouble?

Journal of Psychology and Financial Markets 3 (2002), 76–86.

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Trading Volume

with Jiang Wang, Advances in Economic Theory: Eighth World Congress (Econometric Society Monograph), edited by Dewatripont, M., Hansen, L. and S. Turnovsky

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Risk Management for Hedge Funds: Introduction and Overview

Financial Analysts Journal 57 (2001), 16-33

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Personal Indexes

Journal of Indexes Q3 (2001), 26–35.

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Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

with Nicholas Chan, Blake LeBaron, and Tomaso Poggio

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The Sources and Nature of Long-Term Dependence in the Business Cycle

with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.

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Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

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Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.

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Computational Challenges in Portfolio Management

with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.

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Nonparametric Risk Management and Implied Risk Aversion

with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.

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