Research


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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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Lo, Andrew W. (1986), Logit versus Discriminant Analysis. A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

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Optimal Control of Execution Costs

Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

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

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

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Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

Aït-Sahalia, Yacine, and Andrew W. Lo (1998), Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, Journal of Finance 53 (2), 499–547.

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Systemic Risk and the Refinancing Ratchet Effect

Khandani, Amir E., Andrew W. Lo, and Robert C. Merton (2013), Systemic Risk and the Refinancing Ratchet Effect, Journal of Financial Economics 108 (1), 29–45.

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Maximizing Predictability in the Stock and Bond Markets

Lo, Andrew W., and A. Craig MacKinlay (1997), Maximizing Predictability in the Stock and Bond Markets, Macroeconomic Dynamics 1 (1), 102–134.

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Implementing Option Pricing Models When Asset Returns Are Predictable

Lo, Andrew W., and Jiang Wang (1995), Implementing Option Pricing Models When Asset Returns Are Predictable, Journal of Finance 50 (1), 87–129.

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A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

Hutchinson, James M., Andrew W. Lo, and Tomaso Poggio (1994), A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, Journal of Finance 49 (3), 851–889.

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An Ordered Probit Analysis of Transaction Stock Prices

Hausman, Jerry A., Andrew W. Lo, and A. Craig MacKinlay (1992), An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics 31 (3), 319–379.

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