Research


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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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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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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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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