Research


WARNING!: Physics Envy May Be Hazardous To Your Wealth

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

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Consumer Credit Risk Models via Machine-Learning Algorithms

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

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The Feasibility of Systemic Risk Measurement

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

Journal of Financial Economic Policy 1 (2009), 4-43

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Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008

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Systemic Risk and Hedge Funds

with Nicholas Chan, Mila Getmansky, Shane M. Haas, The Risks of Financial Institutions and the Financial Sector, edited by M. Carey and R. Stulz, 2007. Chicago, IL: University of Chicago Press.

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What Happened To The Quants In August 2007?

Journal of Investment Management 5 (2007), 29-78.

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Do Hedge Funds Increase Systemic Risks?

with Nicholas Chan, Mila Getmansky, and Shane M. Haas, Federal Reserve Bank of Atlanta Economic Review 2006:Q4, 49–80.

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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.

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Marketable Alternatives

Commonfund Quarterly Fall 2002.

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