Research


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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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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