Publications

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

2011
Khandani, Amir E., and Andrew W. Lo (2011), Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios, Quarterly Journal of Finance 1 (2), 205–264.

Hedge Funds: An Analytic Perspective

2010 Revised Edition
Lo, Andrew W. (2008), Hedge Funds: An Analytic Perspective, Princeton University Press (revised and expanded edition, 2010).

The Evolution of Technical Analysis

2010
Lo, Andrew W., and Jasmina Hasanhodzic (2010), The Evolution of Technical Analysis: Financial Prediction from Babylonian Tables to Bloomberg Terminals, John Wiley & Sons.

Stock Market Trading Volume

2010
Lo, Andrew W., and Jiang Wang (2010), Stock Market Trading Volume, In Handbook of Financial Econometrics, Volume 2, edited by Yacine Äit-Sahalia and Lars Peter Hansen, 241–337.

Impossible Frontiers

2010
Brennan, Thomas J., and Andrew W. Lo (2010), Impossible Frontiers, Management Science 56 (6), 905–923.

The Heretics of Finance

2009
Lo, Andrew W., and Jasmina Hasanhodzic (2009), The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis, Bloomberg Press.

Regulatory Reform in the Wake of the Financial Crisis of 2007‐2008

2009
Lo, Andrew W. (2009), Regulatory Reform in the Wake of the Financial Crisis of 2007‐2008, Journal of Financial Economic Policy 1 (1), 4-43.

Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

2009
Healy, Alexander D., and Andrew W. Lo (2009), Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints, Journal of Investment Management 7 (3), 1–20.

Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

2008
Lo, Andrew W. (2008), Where Do Alphas Come From?: A Measure of the Value of Active Investment Management, Journal of Investment Management 6 (3), 6–34.

130/30: The New Long-Only

2008
Lo, Andrew W., and Pankaj N. Patel (2008), 130/30: The New Long-Only, Journal of Portfolio Management 34 (2), 12–38.

International Library of Financial Econometrics, Volumes I – V

2007
Lo, Andrew W. (2007), The International Library of Financial Econometrics Series, Volumes 1–5, edited volumes, Edward Elgar Publishing.

Systemic Risk and Hedge Funds

2007
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2007), Systemic Risk and Hedge Funds, In The Risks of Financial Institutions, edited by Mark Carey and René M. Stulz, 235–338.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

2007
Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

What Happened To The Quants In August 2007?

2007
Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

Attack of the Clones

2006
Hasanhodzic, Jasmina, and Andrew W. Lo (2006), Attack of the Clones, Institutional Investor's, June, 54–61.