Research


Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Journal of Financial Economics 19 (1987), 373-388.

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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Journal of Econometrics 31 (1986), 151-178.

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Optimal Control of Execution Costs

with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.

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Statistical Test of Contingent Claims Asset-Pricing Models: A New Methodology

Journal of Financial Economics 17 (1986), 143-173.

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Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.

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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

with Whitney Newey, Economics Letters 19 (1985), 351-353.

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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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Econometric Models of Limit-Order Executions

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

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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.

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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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