Research


Games of Survival in the Newspaper Industry

with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.

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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.

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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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Nonparametric Risk Management and Implied Risk Aversion

with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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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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