Research


Semi-parametric Upper Bounds for Option Prices and Expected Payoffs

Lo, Andrew W. (1987), Semi-parametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19 (2), 373–387.

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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Lo, Andrew W. (1986), Logit versus Discriminant Analysis: A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

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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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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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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

Getmansky, Mila, Andrew W. Lo, and Igor Makarov (2004), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), 529–609.

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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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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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It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

Lo, Andrew W., Constantin Petrov, and Martin Wierzbicki (2003), It’s 11 PM—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, Journal of Investment Management 1 (1), 55–93.

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Bubble, Rubble, Finance In Trouble?

Lo, Andrew W. (2002), Bubble, Rubble, Finance in Trouble?, Journal of Psychology and Financial Markets 3 (2), 76–86.

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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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