Research


Nonparametric Risk Management and Implied Risk Aversion

Aït-Sahalia, Yacine, and Andrew W. Lo (2000), Nonparametric Risk Management and Implied Risk Aversion, Journal of Econometrics 94 (1–2), 9–51.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004), Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy 112 (5), 1054–1090.

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Frontiers of Finance: Evolution and Efficient Markets

Farmer, J. Doyne, and Andrew W. Lo (1999), Frontiers of Finance: Evolution and Efficient Markets, Proceedings of the National Academy of Sciences 96, 9991–9992.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Lo, Andrew W. (2004), The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30 (5), 15–29.

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The Three P’s of Total Risk Management

Lo, Andrew W. (1999), The Three P’s of Total Risk Management, Financial Analysts Journal 55 (1), 13–26.

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Consumer Credit Risk Models via Machine-Learning Algorithms

Khandani, Amir E., Adlar J. Kim, and Andrew W. Lo (2010), Consumer Credit-Risk Models via Machine-Learning Algorithms, Journal of Banking & Finance 34 (11), 2767–2787.

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WARNING: Physics Envy May Be Hazardous To Your Wealth

Lo, Andrew W., and Mark T. Mueller (2010), WARNING: Physics Envy May Be Hazardous to Your Wealth!, Journal of Investment Management 8 (2), 13–63.

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Impossible Frontiers

Brennan, Thomas J., and Andrew W. Lo (2010), Impossible Frontiers, Management Science 56 (6), 905–923.

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Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Healy, Alexander D., and Andrew W. Lo (2009), Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints, Journal of Investment Management 7 (3), 1–20.

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Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Lo, Andrew W. (2009), Regulatory Reform in the Wake of the Financial Crisis of 2007-2008, Journal of Financial Economic Policy 1 (1), 4–43.

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