Publications


Notice: Undefined variable: output in /var/www/html/alo/wp-content/themes/alo-mit-fpd-3/taxonomy-topic.php on line 17

Notice: Undefined variable: filter in /var/www/html/alo/wp-content/themes/alo-mit-fpd-3/taxonomy-topic.php on line 17

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.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

2004
Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

Trading Volume

2003
Lo, Andrew W., and Jiang Wang (2003), Trading Volume, In Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II, edited by Mathias Dewatripont, Lars Peter Hansen, and Stephen J. Turnovsky, 206–277.

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

2003
Lo, Andrew W., Constantin Petrov, and Martin Wierzbicki (2003), It’s 11 PM—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, Journal of Investment Management 1 (1), 55–93.

The Statistics of Sharpe Ratios

2002
Lo, Andrew W. (2002), The Statistics of Sharpe Ratios, Financial Analysts Journal 58 (4), 36–52.

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.

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.

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.

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.

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.