Publications

Marketable Alternatives

2002
Lo, Andrew W. (2002), Marketable Alternatives, Commonfund Quarterly, Fall.

Econometric Models of Limit-Order Executions

2002
Lo, Andrew W., A. Craig MacKinlay, and June Zhang (2002), Econometric Models of Limit-Order Executions, Journal of Financial Economics 65 (1), 31–71.

The Psychophysiology of Real-Time Financial Risk Processing

2002
Lo, Andrew W., and Dmitry V. Repin (2002), The Psychophysiology of Real-Time Financial Risk Processing, Journal of Cognitive Neuroscience 14 (3), 323–339.

Bubble, Rubble, Finance In Trouble?

2002
Lo, Andrew W. (2002), Bubble, Rubble, Finance in Trouble?, Journal of Psychology and Financial Markets 3 (2), 76–86.

Risk Management for Hedge Funds: Introduction and Overview

2001
Lo, Andrew W. (2001), Risk Management for Hedge Funds: Introduction and Overview, Financial Analysts Journal 57 (6), 16–33.

Personal Indexes

2001
Lo, Andrew W. (2001), Personal Indexes, Journal of Indexes, 2nd Quarter, 26–35.

Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

2001
Poggio, Tomaso, Andrew W. Lo, Blake LeBaron, and Nicholas T. Chan (2001), Agent-Based Models of Financial Markets: A Comparison with Experimental Markets.

The Sources and Nature of Long-Term Dependence in the Business Cycle

2001
Haubrich, Joseph G., and Andrew W. Lo (2001), The Sources and Nature of Long-Term Dependence in the Business Cycle, Federal Reserve Bank of Cleveland Economic Review 37, 15–30.

Asset Allocation and Derivatives

2001
Haugh, Martin B., and Andrew W. Lo (2001), Asset Allocation and Derivatives, Quantitative Finance 1 (1), 45–72.

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

2001
Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2001), Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach, Operations Research 49 (3), 372–397.

Computational Challenges in Portfolio Management

2001
Haugh, Martin B., and Andrew W. Lo (2001), Computational Challenges in Portfolio Management, Computing in Science & Engineering 3 (3), 54–59.

Finance: A Selective Survey

2001
Lo, Andrew W. (2001), Finance: A Selective Survey, In Statistics in the 21st Century, edited by Adrian E. Raftery, Martin A. Tanner, and Martin T. Wells, 102–114.

Computational Finance 1999

2000
Abu-Mostafa, Yaser S., Blake LeBaron, Andrew W. Lo, and Andreas S. Wiegand (2000), Computational Finance 1999, edited volume, MIT Press.

Nonparametric Risk Management and Implied Risk Aversion

2000
Aït-Sahalia, Yacine, and Andrew W. Lo (2000), Nonparametric Risk Management and Implied Risk Aversion, Journal of Econometrics 94 (1–2), 9–51.

Optimal Control of Execution Costs for Portfolios

2000
Bertsimas, Dimitris, Andrew W. Lo, and Paul Hummel (2000), Optimal Control of Execution Costs for Portfolios, Computing in Science & Engineering 1, 40–53.