Publications

Performance Attribution for Portfolio Constraints

2024
Lo, Andrew W., and Ruixun Zhang (2024), Performance Attribution for Portfolio Constraints, Management Science, https://doi.org/10.1287/mnsc.2024.05365.

Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics

2024
Berg, Florian, Andrew W. Lo, Roberto Rigobon, Manish Singh, and Ruixun Zhang (2024), Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics, Journal of Portfolio Management 50 (8), 216–238.

Optimal Impact Portfolios with General Dependence and Marginals

2024
Lo, Andrew W., Lan Wu, Ruixun Zhang, and Chaoyi Zhao (2024), Optimal Impact Portfolios with General Dependence and Marginals, Operations Research, Articles in Advance, https://doi.org/10.1287/opre.2023.0400.

Quantifying the Impact of Impact Investing

2023
Lo, Andrew W., and Ruixun Zhang (2023), Quantifying the Impact of Impact Investing, Management Science, Articles in Advance, https://doi.org/10.1287/mnsc.2022.01168.

A Brainier Approach to ESG Investing

2021
Smith, Erin, Rashi Ojha, Andrew W. Lo, Jeffrey L. Cummings, William Hynes, and Harris Eyre (2021), Psychiatric Times, March 26.

Funding Long Shots

2019
Hull, John, Andrew W. Lo, and Roger M. Stein (2019), Funding Long Shots, Journal of Investment Management 17 (4), 9–41.