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Research


Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform

2017
Cao, Charles, Grant Farnsworth, Bing Liang, and Andrew W. Lo (2017), Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform, Management Science 63 (7), 2233–2250.

Q Group Panel Discussion: Looking to the Future

2016
Leibowitz, Martin, Andrew W. Lo, Robert C. Merton, Stephen A. Ross, and Jeremy Siegel (2016), Q Group Panel Discussion: Looking to the Future, Financial Analysts Journal 72 (4), 17–25.

Spectral Portfolio Theory

2016

What Is An Index?

2016
Lo, Andrew W. (2016), What Is an Index?, Journal of Portfolio Management 42 (2), 21–36.

Portfolio Theory

2015
Brennan, Thomas J., Andrew W. Lo, and Tri-Dung Nguyen (2015), Portfolio Theory, In The Princeton Companion to Applied Mathematics, edited by Nicholas J. Higham, 648–658.

Spectral Analysis of Stock-Return Volatility, Correlation, and Beta

2015
Chaudhuri, Shomesh E., and Andrew W. Lo (2015), Spectral Analysis of Stock-Return Volatility, Correlation, and Beta, 2015 IEEE Signal Processing and Signal Processing Education Workshop (SP/SPE), 232–236.

Reply to “(Im)Possible Frontiers: A Comment”

2015
Brennan, Thomas J., and Andrew W. Lo (2015), Reply to "(Im)Possible Frontiers: A Comment," Critical Finance Review 4 (1), 157–171.

Hedge Funds: A Dynamic Industry In Transition

2015
Getmansky, Mila, Peter A. Lee, and Andrew W. Lo (2015), Hedge Funds: A Dynamic Industry in Transition, Annual Review of Financial Economics 7 (1), 483–577.

Non-Trading Effect

1992
Lo, Andrew W., and A. Craig MacKinley (1992), Non-trading Effect, In New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate, and John Eatwell.

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