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Research


130/30: The New Long-Only

2008
Lo, Andrew W., and Pankaj N. Patel (2008), 130/30: The New Long-Only, Journal of Portfolio Management 34 (2), 12–38.

International Library of Financial Econometrics, Volumes I – V

2007
Lo, Andrew W. (2007), The International Library of Financial Econometrics Series, Volumes 1–5, edited volumes, Edward Elgar Publishing.

Systemic Risk and Hedge Funds

2007
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2007), Systemic Risk and Hedge Funds, In The Risks of Financial Institutions, edited by Mark Carey and René M. Stulz, 235–338.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

2007
Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

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.

Attack of the Clones

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

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.

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.

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