Research


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 of Financial Engineering

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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Optimal Control of Execution Costs for Portfolios

with Dimitris Bertsimas and Paul Hummel, Computing in Science & Engineering 1 (2000), 40–53.

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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

with Jiang Wang, Review of Financial Studies 13 (2000), 257–300.

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When Is Time Continuous?

with Dimitris Bertsimas and Leonid Kogan, Journal of Financial Economics 55 (2000), 173–204.

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Finance: A Selective Survey

Journal of the American Statistical Association 95 (2000), 629-635.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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The Three P’s of Total Risk Management

Financial Analysts Journal 55 (1999), 13–26.

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