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Research


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.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

2004
Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

Marketable Alternatives

2002
Lo, Andrew W. (2002), Marketable Alternatives, Commonfund Quarterly, Fall.

The Psychophysiology of Real-Time Financial Risk Processing

2002
Lo, Andrew W., and Dmitry V. Repin (2002), The Psychophysiology of Real-Time Financial Risk Processing, Journal of Cognitive Neuroscience 14 (3), 323–339.

Risk Management for Hedge Funds: Introduction and Overview

2001
Lo, Andrew W. (2001), Risk Management for Hedge Funds: Introduction and Overview, Financial Analysts Journal 57 (6), 16–33.

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.

The Industrial Organization and Regulation of the Securities Industry

1996
Lo, Andrew W. (1996), The Industrial Organization and Regulation of the Securities Industry, edited volume, University of Chicago Press.

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.