Research


Frontiers of Finance: Evolution and Efficient Markets

with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management 30 (2004), 15–29.

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The Three P’s of Total Risk Management

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

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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.

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Bubble, Rubble, Finance In Trouble?

Journal of Psychology and Financial Markets 3 (2002), 76–86.

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Impossible Frontiers

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

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

with A. Healy, Journal of Investment Management 7 (2009), 1–20.

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

Journal of Investment Management 6 (2008), 1–29.

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130/30: The New Long-Only

with Pankaj Patel, Journal of Portfolio Management 34 (2008), 12-38.

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