Publications

An Empirical Evaluation of Tax-Loss-Harvesting Alpha

2020
Chaudhuri, Shomesh, Terence C. Burnham and Andrew W. Lo (2020), An Empirical Evaluation of Tax-Loss-Harvesting Alpha, Financial Analysts Journal 76 (3) 99-108.

If Regulations Don’t Bend, They’ll Break

2018
Lo, Andrew W. (2018), If Regulations Don’t Bend, They’ll Break, RISK, July 2.

Financial Risks Don’t Go on Holiday

2018
Lo, Andrew W. (2018), Financial Risks Don’t Go on Holiday, RISK, August 20.

All the News that’s Fit to Print

2018
Lo, Andrew W. (2018), All the News that’s Fit to Print, RISK, October 25.

Stop-loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs

2017
Lo, Andrew W., and Alexander Remorov (2017), Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs, Journal of Financial Markets 34, 1–15.

Moore’s Law vs. Murphy’s Law in the Financial System: Who’s Winning?

2017
Lo, Andrew W. (2017), Moore’s Law vs. Murphy’s Law in the Financial System: Who’s Winning?, Journal of Investment Management 15 (1), 17–38.

TRC Networks and Systemic Risk

2016
Lo, Andrew W., and Roger M. Stein (2016), TRC Networks and Systemic Risk, Journal of Alternative Investments 18 (4), 52–67.

What Is An Index?

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

Risk and Risk Management in the Credit Card Industry

2016
Butaru, Florentin, Qingqing Chen, Brian Clark, Sanmay Das, Andrew W. Lo, and Akhtar Siddique (2016), Risk and Risk Management in the Credit Card Industry, Journal of Banking & Finance 72, 218–239.

Opinion: A New Approach to Financial Regulation

2015
Levin, Simon A., and Andrew W. Lo (2015), Opinion: A New Approach to Financial Regulation, Proceedings of the National Academy of Sciences 112 (41), 12543–12544.

Dealing with Femtorisks in International Relations

2014
Frank, Aaron Benjamin, Margaret Goud Collins, Simon A. Levin, Andrew W. Lo, Joshua Ramo, Ulf Dieckmann, Victor Kremenyuk, Arkady Kryazhimskiy, Joanne Linnerooth-Bayer, Ben Ramalingam, J. Stapleton Roy, Donald G. Saari, Stefan Thurner, and Detlof von Winterfeldt (2014), Dealing with Femtorisks in International Relations, Proceedings of the National Academy of Sciences 111 (49), 17356–17362.

Dynamic Loss Probabilities and Implications for Financial Regulation

2014
Brennan, Thomas J., and Andrew W. Lo (2014), Dynamic Loss Probabilities and Implications for Financial Regulation, Yale Journal on Regulation 31 (3), 667–694.

When Do Stop-Loss Rules Stop Losses?

2014
Kaminski, Kathryn M., and Andrew W. Lo (2014), When Do Stop-Loss Rules Stop Losses?, Journal of Financial Markets 18 (1), 234–254.

Quantifying Systemic Risk

2013
Haubrich, Joseph G., and Andrew W. Lo (2013), Quantifying Systemic Risk, edited volume, University of Chicago Press.

On a New Approach for Analyzing and Managing Macrofinancial Risks

2013
Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo, and Loriana Pelizzon (2013), On a New Approach for Analyzing and Managing Macrofinancial Risks, Financial Analysts Journal 69 (2), 22–33.