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Research


Risk Management for Hedge Funds: Introduction and Overview

2001

Personal Indexes

2001

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

2001
Nicholas Chan, Blake LeBaron, and Tomaso Poggio

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

2001
Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.
Joseph Haubrich

Asset Allocation and Derivatives

2001
Quantitative Finance 1 (2001), 45–72.
Martin Haugh

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

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

Computational Challenges in Portfolio Management

2001
Computing in Science & Engineering 3 (2001), 54–59.
Martin Haugh

Nonparametric Risk Management and Implied Risk Aversion

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

Optimal Control of Execution Costs for Portfolios

2000
Computing in Science & Engineering 1 (2000), 40–53.
Dimitris Bertsimas and Paul Hummel

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000
Review of Financial Studies 13 (2000), 257–300.
Jiang Wang

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