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Research


Nonparametric Risk Management and Implied Risk Aversion

2000
Aït-Sahalia, Yacine, and Andrew W. Lo (2000), Nonparametric Risk Management and Implied Risk Aversion, Journal of Econometrics 94 (1–2), 9–51.

The Three P’s of Total Risk Management

1999
Lo, Andrew W. (1999), The Three P’s of Total Risk Management, Financial Analysts Journal 55 (1), 13–26.

Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

1995
Heaton, John, and Andrew W. Lo (1995), Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?, In Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond, 58–109.

A Large-Sample Chow Test for the Single Linear Simultaneous Equation

1985
Lo, Andrew W., and Whitney K. Newey (1985), A Large-Sample Chow Test for the Linear Simultaneous Equation, Economics Letters 18 (4), 351–353.

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