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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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 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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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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The Origin of Behavior

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

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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.

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The National Transportation Safety Board A Model for Systemic Risk Management

Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011), The National Transportation Safety Board: A Model for Systemic Risk Management, Journal of Investment Management 9 (1), 17–49.

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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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