Research


Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

with Amir Khandani, Quarterly Journal of Finance 1 (2011), 1-59.

View abstract

Complexity, Concentration and Contagion: A Comment

Journal of Monetary Economics 58 (2011), 471-479

View abstract

Stock Market Trading Volume

with Jiang Wang, Handbook of Financial Econometrics, Volume 2, 2010, North-Holland

View abstract

The Financial Industry Needs its Own Crash Safety Board

The Financial Times

View abstract

Is It Real, or Is It Randomized?: A Financial Turing Test

with Jasmina Hasanhodzic and Emanuele Viola

View abstract

Lo: The Best Econ Book I’ve Read Recently

PBS Newshour, The Business Desk

View abstract

WARNING!: Physics Envy May Be Hazardous To Your Wealth

with Mark Mueller, Journal of Investment Management 8 (2010), 13-63.

View abstract

Consumer Credit Risk Models via Machine-Learning Algorithms

with Amir E. Khandani and Adlar J. Kim, Journal of Banking & Finance 34 (2010), 2767-2787.

View abstract

Impossible Frontiers

with Thomas J. Brennan, Management Science 56 (2010), 905-923.

View abstract

The Feasibility of Systemic Risk Measurement

View abstract

Follow me on © 2017 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.
Design by: Opus Design