Research


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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Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2001), Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach, Operations Research 49 (3), 372–397.

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Computational Challenges in Portfolio Management

Haugh, Martin B., and Andrew W. Lo (2001), Computational Challenges in Portfolio Management, Computing in Science & Engineering 3 (3), 54–59.

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Asset Allocation and Derivatives

Haugh, Martin B., and Andrew W. Lo (2001), Asset Allocation and Derivatives, Quantitative Finance 1 (1), 45–72.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2000), Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance 55 (4), 1705–1765.

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Finance: A Selective Survey

Lo, Andrew W. (2001), Finance: A Selective Survey, In Statistics in the 21st Century, edited by Adrian E. Raftery, Martin A. Tanner, and Martin T. Wells, 102–114.

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