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Research


Asset Prices and Trading Volume Under Fixed Transactions Costs

2004
Journal of Political Economy 112 (2004), 1054–1090.
Harry Mamaysky and Jiang Wang

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

2004
Journal of Financial Economics 74 (2004), 529–609.
Mila Getmansky and Igor Makarov

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

2004
Journal of Investment Management 2 (2004), 6–38.
Mila Getmansky and Shauna X. Mei

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

2003
Journal of Investment Management 1 (2003), 55–93.
Constantin Petrov and Martin Wierzbicki

The Statistics of Sharpe Ratios

2002

Econometric Models of Limit-Order Executions

2002
Journal of Financial Economics 65 (2002), 31–71.
Craig MacKinlay and June Zhang

Trading Volume

2002
Advances in Economic Theory: Eighth World Congress (Econometric Society Monograph), edited by Dewatripont, M., Hansen, L. and S. Turnovsky
Jiang Wang

Risk Management for Hedge Funds: Introduction and Overview

2001

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

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