Research


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

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

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Computational Challenges of Financial Engineering

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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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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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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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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130/30: The New Long-Only

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

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The Origin of Behavior

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

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