Research


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

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.

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The Statistics of Sharpe Ratios

Lo, Andrew W. (2002), The Statistics of Sharpe Ratios, Financial Analysts Journal 58 (4), 36–52.

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Risk Management for Hedge Funds: Introduction and Overview

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

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Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology

Lo, Andrew W. (1986), Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology, Journal of Financial Economics 17 (1), 143–173.

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Business Models to Cure Rare Disease: A Case Study of Solid Biosciences

Kim, Esther S., and Andrew W. Lo (2016), Business Models to Cure Rare Disease: A Case Study of Solid Biosciences, Journal of Investment Management 14 (4), 87–101.

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Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles, Bing Liang, Andrew W. Lo, and Lubomir Petrasek (2018), Hedge Fund Holdings and Stock Market Efficiency, Review of Asset Pricing Studies 8 (1), 77–116.

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

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.

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TRC Networks and Systemic Risk

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

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The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

Azar, Pablo D., and Andrew W. Lo (2016), The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds, Journal of Portfolio Management 42 (5), 123–134.

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Q Group Panel Discussion: Looking to the Future

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.

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