Research


What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

Khandani, Amir E., and Andrew W. Lo (2011), What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data, Journal of Financial Markets 14 (1), 1–46.

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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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Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

Lo, Andrew W. (2008), Where Do Alphas Come From?: A Measure of the Value of Active Investment Management, Journal of Investment Management 6 (3), 6–34.

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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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Complexity, Concentration and Contagion: A Comment

Lo, Andrew W. (2011), Complexity, Concentration and Contagion: A Comment, Journal of Monetary Economics 58 (5), 471–479.

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