Research


An Evolutionary Model of Bounded Rationality and Intelligence

Brennan, Thomas J., and Andrew W. Lo (2012), An Evolutionary Model of Bounded Rationality and Intelligence, PLoS ONE 7 (11), e50310.

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Adaptive Markets and the New World Order

Lo, Andrew W. (2012), Adaptive Markets and the New World Order, Financial Analysts Journal 68 (2), 18–29.

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On Black’s Leverage Effect in Firms with No Leverage

Hasanhodzic, Jasmina, and Andrew W. Lo (2019), On Black’s Leverage Effect in Firms with No Leverage, Journal of Portfolio Management 46 (1), 106–122.

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Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents

Kirilenko, Andrei A., and Andrew W. Lo (2013), Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents, Journal of Economic Perspectives 27 (2), 51–72.

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What Do Humans Perceive in Asset Returns?

with Jasmina Hasanhodzic and Emanuele Viola, Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola (2019), What Do Humans Perceive in Asset Returns?, Journal of Portfolio Management 45 (4), 49–60.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

Abbe, Emmanuel A., Amir E. Khandani, and Andrew W. Lo (2012), Privacy-Preserving Methods for Sharing Financial Risk Exposures, American Economic Review 102 (3), 65–70.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Billio, Monica, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon (2012), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Journal of Financial Economics 104 (3), 535–559.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Lo, Andrew W. (2012), Reading about the Financial Crisis: A Twenty-One-Book Review, Journal of Economic Literature 50 (1), 151–178.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Lo, Andrew W. (1988), Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory 4 (2), 231–247.

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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Lo, Andrew W. (1987), Semi-Parametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19 (2), 373–387.

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