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Research


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.

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