Research


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.

View abstract

Asset Allocation and Derivatives

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

View abstract

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.

View abstract

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.

View abstract

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.

View abstract

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.

View abstract

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

Lo, Andrew W., Dmitry V. Repin, Brett N. Steenbarger, David Laibson, David Hirshleifer, and Kevin McCabe (2005), Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, American Economic Review 95 (2), 352–359.

View abstract

The Origin of Behavior

Brennan, Thomas J., and Andrew W. Lo (2011), The Origin of Behavior, Quarterly Journal of Finance 1 (1), 55–108.

View abstract

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

View abstract

Securities Trading of Concepts (STOC)

Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan (2011), Securities Trading of Concepts (STOC), Journal of Marketing Research 48 (3), 497–517.

View abstract