Publications


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The National Transportation Safety Board A Model for Systemic Risk Management

2011
Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011), The National Transportation Safety Board: A Model for Systemic Risk Management, Journal of Investment Management 9 (1), 17–49.

Complexity, Concentration and Contagion: A Comment

2011
Lo, Andrew W. (2011), Complexity, Concentration and Contagion: A Comment, Journal of Monetary Economics 58 (5), 471–479.

Hedge Funds: An Analytic Perspective

2010 Revised Edition
Lo, Andrew W. (2008), Hedge Funds: An Analytic Perspective, Princeton University Press (revised and expanded edition, 2010).

The Financial Industry Needs its Own Crash Safety Board

2010
Lo, Andrew W. (2010), The Financial Industry Needs Its Own Crash Safety Board, Financial Times, March 2.

WARNING: Physics Envy May Be Hazardous To Your Wealth

2010
Lo, Andrew W., and Mark T. Mueller (2010), WARNING: Physics Envy May Be Hazardous to Your Wealth!, Journal of Investment Management 8 (2), 13–63.

Consumer Credit Risk Models via Machine-Learning Algorithms

2010
Khandani, Amir E., Adlar J. Kim, and Andrew W. Lo (2010), Consumer Credit-Risk Models via Machine-Learning Algorithms, Journal of Banking & Finance 34 (11), 2767–2787.

Mind the GAAP—and Find Out About Your Risks

2009
Lo, Andrew W., and David E. Runkle (2009), Mind the GAAP—and Find Out About Your Risks, Financial Times, April 2.

Regulatory Reform in the Wake of the Financial Crisis of 2007‐2008

2009
Lo, Andrew W. (2009), Regulatory Reform in the Wake of the Financial Crisis of 2007‐2008, Journal of Financial Economic Policy 1 (1), 4-43.

The Feasibility of Systemic Risk Measurement

2009

Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

2009
Lo, Andrew W. (2009), Regulatory Reform in the Wake of the Financial Crisis of 2007-2008, Journal of Financial Economic Policy 1 (1), 4–43.

MIT Roundtable on Corporate Risk Management

2008
Lewent, Judy, Donald Lessard, Andrew W. Lo and Lakshmi Shyam-Sunder (2008), MIT Roundtable on Corporate Risk Management, Journal of Applied Corporate Finance 20 (4), 20–38.

Systemic Risk and Hedge Funds

2007
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2007), Systemic Risk and Hedge Funds, In The Risks of Financial Institutions, edited by Mark Carey and René M. Stulz, 235–338.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

2007
Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

What Happened To The Quants In August 2007?

2007
Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

Do Hedge Funds Increase Systemic Risks?

2006
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2006), Do Hedge Funds Increase Systemic Risks?, Federal Reserve Bank of Atlanta Economic Review 91 (4), 49–80.