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Research


The Psychophysiology of Real-Time Financial Risk Processing

Lo, Andrew W., and Dmitry V. Repin (2002), The Psychophysiology of Real-Time Financial Risk Processing, Journal of Cognitive Neuroscience 14 (3), 323–339.

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Econometric Models of Limit-Order Executions

Lo, Andrew W., A. Craig MacKinlay, and June Zhang (2002), Econometric Models of Limit-Order Executions, Journal of Financial Economics 65 (1), 31–71.

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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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130/30: The New Long-Only

Lo, Andrew W., and Pankaj N. Patel (2008), 130/30: The New Long-Only, Journal of Portfolio Management 34 (2), 12–38.

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What Happened To The Quants In August 2007?

Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

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Can Hedge-Fund Returns Be Replicated?: The Linear Case

Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

Lo, Andrew W., and Jiang Wang (2006), Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, Journal of Finance 61 (6), 2805–2840.

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Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Lo, Andrew W. (2005), Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis, Journal of Investment Consulting 7 (2), 21–44.

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Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

Khandani, Amir E., and Andrew W. Lo (2011), Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios, Quarterly Journal of Finance 1 (2), 205–264.

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