Research


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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The Sources and Nature of Long-Term Dependence in the Business Cycle

Haubrich, Joseph G., and Andrew W. Lo (2001), The Sources and Nature of Long-Term Dependence in the Business Cycle, Federal Reserve Bank of Cleveland Economic Review 37, 15–30.

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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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