Research


It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

with Constantin Petrov and Martin Wierzbicki, Journal of Investment Management 1 (2003), 55–93.

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The Statistics of Sharpe Ratios

Financial Analysts Journal 58 (2002), 36-52

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Marketable Alternatives

Commonfund Quarterly Fall 2002.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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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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