Research


The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

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

View abstract

The Three P’s of Total Risk Management

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

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

Bubble, Rubble, Finance In Trouble?

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

View abstract

The Psychophysiology of Real-Time Financial Risk Processing

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

View abstract

Econometric Models of Limit-Order Executions

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

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

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

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

View abstract

Computational Challenges in Portfolio Management

with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.

View abstract

Asset Allocation and Derivatives

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

View abstract


Follow me on © 2018 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.
Design by: Opus Design