Research


An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.

View abstract

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

with Mila Getmansky and Shauna X. Mei, Journal of Investment Management 2 (2004), 6–38.

View abstract

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.

View abstract

The Statistics of Sharpe Ratios

Financial Analysts Journal 58 (2002), 36-52

View abstract

Econometric Models of Limit-Order Executions

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

View abstract

Trading Volume

with Jiang Wang, Advances in Economic Theory: Eighth World Congress (Econometric Society Monograph), edited by Dewatripont, M., Hansen, L. and S. Turnovsky

View abstract

Risk Management for Hedge Funds: Introduction and Overview

Financial Analysts Journal 57 (2001), 16-33

View abstract

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.

View abstract

Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

View abstract

Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.

View abstract

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