Publications

What Happened To The Quants In August 2007?

2007
Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

The Derivatives Sourcebook

2006
Lim, Terence, Andrew W. Lo, Robert C. Merton, and Myron S. Scholes (2006), The Derivatives Sourcebook, Foundations and Trends in Finance 1 (5–6), 365–572.

Attack of the Clones

2006
Hasanhodzic, Jasmina, and Andrew W. Lo (2006), Attack of the Clones, Alpha Magazine, June, 54–61.

Survival of the Richest

2006
Lo, Andrew W. (2006), Survival of the Richest, Harvard Business Review, March.

Do Hedge Funds Increase Systemic Risks?

2006
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2006), Do Hedge Funds Increase Systemic Risks?, Federal Reserve Bank of Atlanta Economic Review 91 (4), 49–80.

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

2006
Lo, Andrew W., and Jiang Wang (2006), Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, Journal of Finance 61 (6), 2805–2840.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

2005
Lo, Andrew W. (2005), Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis, Journal of Investment Consulting 7 (2), 21–44.

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

2005
Lo, Andrew W., Dmitry V. Repin, Brett N. Steenbarger, David Laibson, David Hirshleifer, and Kevin McCabe (2005), Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, American Economic Review 95 (2), 352–359.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

2004
Lo, Andrew W. (2004), The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30 (5), 15–29.

Asset Prices and Trading Volume Under Fixed Transactions Costs

2004
Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004), Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy 112 (5), 1054–1090.

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

2004
Getmansky, Mila, Andrew W. Lo, and Igor Makarov (2004), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), 529–609.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

2004
Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

Trading Volume

2003
Lo, Andrew W., and Jiang Wang (2003), Trading Volume, In Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II, edited by Mathias Dewatripont, Lars Peter Hansen, and Stephen J. Turnovsky, 206–277.

It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

2003
Lo, Andrew W., Constantin Petrov, and Martin Wierzbicki (2003), It’s 11 PM—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, Journal of Investment Management 1 (1), 55–93.

The Statistics of Sharpe Ratios

2002
Lo, Andrew W. (2002), The Statistics of Sharpe Ratios, Financial Analysts Journal 58 (4), 36–52.