Research


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.

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When Is Time Continuous?

Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2000), When Is Time Continuous?, Journal of Financial Economics 55 (2), 173–204.

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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Lo, Andrew W., and Jiang Wang (2000), Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, Review of Financial Studies 13 (2), 257–300.

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Optimal Control of Execution Costs for Portfolios

Bertsimas, Dimitris, Andrew W. Lo, and Paul Hummel (2000), Optimal Control of Execution Costs for Portfolios, Computing in Science & Engineering 1, 40–53.

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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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