Research


The Growth of Relative Wealth and the Kelly Criterion

Lo, Andrew W., H. Allen Orr, and Ruixun Zhang (2018), The Growth of Relative Wealth and the Kelly Criterion, Journal of Bioeconomics 20 (1), 49–67.

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Dealing with Femtorisks in International Relations

Frank, Aaron Benjamin, Margaret Goud Collins, Simon A. Levin, Andrew W. Lo, Joshua Ramo, Ulf Dieckmann, Victor Kremenyuk, Arkady Kryazhimskiy, Joanne Linnerooth-Bayer, Ben Ramalingam, J. Stapleton Roy, Donald G. Saari, Stefan Thurner, and Detlof von Winterfeldt (2014), Dealing with Femtorisks in International Relations, Proceedings of the National Academy of Sciences 111 (49), 17356–17362.

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Hedge Fund Beta Replication: A Five-Year Retrospective

Lee, Peter A., and Andrew W. Lo (2014), Hedge Fund Beta Replication: A Five-Year Retrospective, Journal of Investment Management 12 (3), 5–18.

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Accelerating Biomedical Innovation: A Case Study of the SPARK Program at Stanford University, School of Medicine

Kim, Esther S., Paige M. C. Omura, and Andrew W. Lo (2017), Accelerating Biomedical Innovation: A Case Study of the SPARK Program at Stanford University, School of Medicine, Drug Discovery Today 22 (7), 1064–1068.

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Stop-loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs

Lo, Andrew W., and Alexander Remorov (2017), Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs, Journal of Financial Markets 34, 1–15.

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New Directions for the FDA in the 21st Century

Lo, Andrew W. (2017), Discussion: New Directions for the FDA in the 21st Century, Biostatistics 18 (3), 404–407.

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Moore’s Law vs. Murphy’s Law in the Financial System: Who’s Winning?

Lo, Andrew W. (2017), Moore’s Law vs. Murphy’s Law in the Financial System: Who’s Winning?, Journal of Investment Management 15 (1), 17–38.

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The Statistics of Sharpe Ratios

Lo, Andrew W. (2002), The Statistics of Sharpe Ratios, Financial Analysts Journal 58 (4), 36–52.

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Risk Management for Hedge Funds: Introduction and Overview

Lo, Andrew W. (2001), Risk Management for Hedge Funds: Introduction and Overview, Financial Analysts Journal 57 (6), 16–33.

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Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology

Lo, Andrew W. (1986), Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology, Journal of Financial Economics 17 (1), 143–173.

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