Research


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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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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Risk Management for Hedge Funds: Introduction and Overview

Financial Analysts Journal 57 (2001), 16-33

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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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The Three P’s of Total Risk Management

Financial Analysts Journal 55 (1999), 13–26.

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