Research


Computational Challenges in Portfolio Management

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

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Asset Allocation and Derivatives

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

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Can Hedge-Fund Returns Be Replicated?: The Linear Case

with Jasmina Hasanhodzic, Journal of Investment Management 5 (2007), 5–45.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

with Jiang Wang, Journal of Finance 61 (2006), 2805–2840.

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Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting 7 (2005), 21–44.

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Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

with Amir Khandani, Quarterly Journal of Finance 1 (2011), 1-59.

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Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

with Dmitry V. Repin and Brett N. Steenbarger, American Economic Review 95 (2005), 352–359.

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The Origin of Behavior

with Thomas Brennan, Quarterly Journal of Finance 1 (2011), 55-108.

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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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Security Trading of Concepts (STOC)

with Ely Dahan, Adlar J. Kim, Tomaso Poggio, and Nicholas T. Chan, Journal of Marketing Research, 48 (2011), 497-517.

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