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Research


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.

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

2000
Lo, Andrew W., and Jiang Wang (2000), Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, Review of Financial Studies 13 (2), 257–300.

When Is Time Continuous?

2000
Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2000), When Is Time Continuous?, Journal of Financial Economics 55 (2), 173–204.

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

2000
Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2000), Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance 55 (4), 1705–1765.

A Non-Random Walk Down Wall Street

1999
Lo, Andrew W., and A. Craig MacKinlay (1999), A Non-Random Walk Down Wall Street, Princeton University Press.

The Three P’s of Total Risk Management

1999
Lo, Andrew W. (1999), The Three P’s of Total Risk Management, Financial Analysts Journal 55 (1), 13–26.

Frontiers of Finance: Evolution and Efficient Markets

1999
Farmer, J. Doyne, and Andrew W. Lo (1999), Frontiers of Finance: Evolution and Efficient Markets, Proceedings of the National Academy of Sciences 96, 9991–9992.

Optimal Control of Execution Costs

1998
Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

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

1998
Aït-Sahalia, Yacine, and Andrew W. Lo (1998), Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, Journal of Finance 53 (2), 499–547.

© 2020 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.