Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Harris & Harris Group Professor

100 Main Street

E62-618

Cambridge, MA 02142

United States

http://web.mit.edu/alo/www

Santa Fe Institute

1399 Hyde Park Road

Santa Fe, NM 87501

United States

SCHOLARLY PAPERS

137

DOWNLOADS
Rank 27

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Top 27

in Total Papers Downloads

227,268

SSRN CITATIONS
Rank 132

SSRN RANKINGS

Top 132

in Total Papers Citations

1,285

CROSSREF CITATIONS

3,233

Scholarly Papers (137)

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 18,536 (227)
Citation 56

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Risk management, hedge funds, risk transparency, risk budgeting, fund of funds

Risk Management for Hedge Funds: Introduction and Overview

Posted: 31 Jul 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Risk management, hedge funds, risk transparency, risk budgeting, fund of funds

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Forthcoming
Number of pages: 44 Posted: 25 May 2005
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 12,069 (518)
Citation 17

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Efficient markets, behavioral finance, adaptive markets

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28 Posted: 05 Nov 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,149 (3,354)
Citation 43

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Behavioral Finance, Market Efficiency, Efficient Markets Hypothesis, Adaptive Markets Hypothesis

3.
Downloads 15,792 ( 327)
Citation 51

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 15,792 (318)
Citation 51

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Hedge Funds, Long/Short Equity, Liquidity, Statistical Arbitrage, August 2007

What Happened to the Quants in August 2007?

Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge Funds, quantitative market-neutral, long/short equities, August 2007

4.

Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds

Number of pages: 34 Posted: 17 Nov 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 11,938 (538)
Citation 46

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5.

Efficient Markets Hypothesis

THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Number of pages: 28 Posted: 06 Jun 2007
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 11,729 (556)
Citation 7

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Market Efficiency, Behavioral Finance

6.
Downloads 10,614 ( 672)
Citation 80

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 10,614 (664)
Citation 80

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hedge funds, investments, portfolio management, risk management

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge fund, portfolio management, risk management

7.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management, Forthcoming
Number of pages: 33 Posted: 15 Oct 2004
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 9,489 (819)
Citation 22

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Market Efficiency, Behavioral Finance, Bounded Rationality

8.

Reading About the Financial Crisis: A 21-Book Review

Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 10 Jan 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 7,934 (1,116)
Citation 11

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Financial Crisis, Systemic Risk, Book Review

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

Number of pages: 40 Posted: 26 Mar 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 7,925 (1,110)
Citation 12

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Alpha, Beta, Performance Attribution, Active Management, Hedge Funds

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

Posted: 06 May 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Alpha, Beta, Performance Attribution, Active Management, Hedge Funds

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

Journal Of Investment Management (JOIM), Third Quarter 2008
Posted: 07 Oct 2008 Last Revised: 09 Jul 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Performance attrribution, performance measurement, alpha, beta, active/passive, timing, forecasting

10.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 28 Feb 2021
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 5,499 (2,056)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

11.
Downloads 5,252 ( 2,229)
Citation 58

Systemic Risk and Hedge Funds

MIT Sloan Research Paper No. 4535-05, EFA 2005 Moscow Meetings Paper, AFA 2006 Boston Meetings Paper
Number of pages: 111 Posted: 07 Mar 2005
AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,850 (2,578)
Citation 2

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Hedge funds, systemic risk, financial crises, risk management

Systemic Risk and Hedge Funds

NBER Working Paper No. w11200
Number of pages: 109 Posted: 19 Apr 2005 Last Revised: 10 Aug 2022
AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 402 (102,824)
Citation 2

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12.
Downloads 5,093 ( 2,376)
Citation 187

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
Downloads 5,093 (2,343)
Citation 187

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systemic risk, financial institutions, liquidity, financial crises, risk management

A Survey of Systemic Risk Analytics

Annual Review of Financial Economics, Vol. 4, pp. 255-296, 2012
Posted: 04 Nov 2012
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)

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13.
Downloads 5,069 ( 2,401)
Citation 32

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Andrew W. Lo and Mark T. Mueller
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology, Center for Theoretical Physics
Downloads 5,069 (2,366)
Citation 32

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Quantitative Finance, Efficient Markets, Financial Crisis, History of Economic Thought

Warning: Physics Envy May Be Hazardous to Your Wealth!

Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Quantitative finance, Efficient markets, Financial crisis, History of economic thought

14.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,648 (2,803)

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Financial Econometrics, Asset Pricing, Portfolio Theory, Market Microstructure, Empirical Finance

15.
Downloads 4,024 ( 3,582)
Citation 14

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,916 (3,665)
Citation 2

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Hedge Funds, Alternative Investments, Investment Management, Long/Short, Illiquidity, Financial Crisis

Hedge Funds: A Dynamic Industry in Transition

NBER Working Paper No. w21449
Number of pages: 136 Posted: 18 Aug 2015 Last Revised: 11 Aug 2022
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 108 (346,982)
Citation 7

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Hedge Funds: A Dynamic Industry in Transition

Annual Review of Financial Economics, Vol. 7, pp. 483-577, 2015
Posted: 11 Dec 2015
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data

Number of pages: 60 Posted: 25 Oct 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,629 (4,169)
Citation 38

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hedge funds, systemic risk, market efficiency, statistical arbitrage, long/short equity

What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data

NBER Working Paper No. w14465
Number of pages: 61 Posted: 10 Nov 2008 Last Revised: 11 Jul 2022
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 256 (169,009)

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17.

Adaptive Markets and the New World Order

Number of pages: 22 Posted: 01 Jan 2012 Last Revised: 05 Jun 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,541 (4,439)
Citation 11

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Efficient Markets, Behavioral Finance, Asset Allocation, Investments

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

Number of pages: 92 Posted: 07 Mar 2003
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 3,175 (5,271)
Citation 1

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Hedge Funds, Serial Correlation, Market Efficiency, Performance Smoothing, Liquidity

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

NBER Working Paper No. w9571
Number of pages: 90 Posted: 20 Mar 2003 Last Revised: 26 Feb 2022
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 183 (228,969)
Citation 34

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19.

Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Number of pages: 43 Posted: 04 May 2009
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 2,715 (6,920)
Citation 4

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Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

Number of pages: 54 Posted: 11 Aug 2015 Last Revised: 29 Nov 2017
Leah Isakov, Andrew W. Lo and Vahid Montazerhodjat
Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,558 (7,482)
Citation 3

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Clinical Trial Design; Drug-Approval Process; FDA; Bayesian Decision Analysis; Adaptive Design

Is the Fda Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

NBER Working Paper No. w21499
Number of pages: 38 Posted: 31 Aug 2015 Last Revised: 31 Mar 2022
Vahid Montazerhodjat and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 42 (574,501)

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21.

Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective

Number of pages: 50 Posted: 14 Oct 2011
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 2,324 (8,819)
Citation 9

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financial crisis, neuroeconomics, animal spirits, behavioral finance

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

Number of pages: 28 Posted: 15 Apr 2005
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 2,004 (11,091)
Citation 2

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Behaviorial Finance, Market Psychology, Market Efficiency

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

NBER Working Paper No. w11243
Number of pages: 27 Posted: 12 May 2005 Last Revised: 30 Mar 2022
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 313 (135,734)
Citation 5

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23.

Stock Market Trading Volume

THE HANDBOOK OF FINANCIAL ECONOMETRICS, Y. A¨ıt-Sahalia and L. Hansen, eds., New York: North-Holland, 2009
Number of pages: 110 Posted: 16 May 2009
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,272 (9,154)
Citation 1

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Trading Volume, Asset Pricing, Portfolio Theory, Mean-Variance Optimization

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

NBER Working Paper No. w7613
Number of pages: 60 Posted: 16 May 2000 Last Revised: 22 Apr 2022
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,071 (10,487)

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Journal of Finance
Posted: 14 May 2000
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35
Number of pages: 78 Posted: 07 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,826 (12,860)
Citation 30

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Asset Pricing, Liquidity, Trading Volume, Transaction Costs

Asset Prices and Trading Volume Under Fixed Transactions Costs

NBER Working Paper No. w8311
Number of pages: 78 Posted: 03 Jun 2001 Last Revised: 19 Mar 2022
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 103 (358,339)

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Asset Prices and Trading Volume Under Fixed Transactions Costs

Journal of Political Economy, Vol. 112, pp. 1054-1090, October 2004
Posted: 03 Sep 2004
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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26.

When is Time Continuous?

MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Number of pages: 51 Posted: 02 Sep 1998
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,891 (12,383)
Citation 8

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27.

A Complete Theory of Human Behavior

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 7 Posted: 12 Aug 2011
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,718 (14,450)

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28.

The Origin of Behavior

Number of pages: 58 Posted: 15 Nov 2009 Last Revised: 23 Nov 2010
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,715 (14,485)
Citation 7

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Behavioral Finance, Probability Matching, Loss Aversion, Risk Aversion, Risk Preferences, Evolution

29.

What is an Index?

Number of pages: 27 Posted: 12 Oct 2015
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,713 (14,536)

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Index Funds, Indexation, Passive Investing, Smart Beta, Liquid Alternatives, Risk Management

30.

Moore's Law vs. Murphy's Law: Algorithmic Trading and Its Discontents

Journal of Economic Perspectives (2013)
Number of pages: 21 Posted: 20 Mar 2013 Last Revised: 22 Jul 2017
Andrei A. Kirilenko and Andrew W. Lo
University of Cambridge - Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,602 (16,055)
Citation 27

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Algorithmic Trading, High Frequency Trading, Financial Regulation, Systemic Risk

31.

Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

Number of pages: 47 Posted: 19 Nov 2001
Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Brandeis University - International Business School and AlphaSimplex Group, LLC
Downloads 1,586 (16,299)
Citation 8

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Agent-Based Models, Artificial Markets, Experimental Markets, Market Microstructure

32.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 18 Feb 2015
Charles Cao, Yong Chen, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,574 (16,501)
Citation 43

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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence

33.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
Massachusetts Institute of Technology, Chapman University - The George L. Argyros School of Business & Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,547 (16,952)
Citation 1

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Tax-Loss Harvesting; Tax Optimization; Tax Alpha; Tax-Aware Investing

34.

Non-Parametric Risk Management and Implied Risk Aversion

Number of pages: 49 Posted: 02 Jun 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,547 (16,952)
Citation 7

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35.
Downloads 1,533 ( 17,196)
Citation 5

Impossible Frontiers

Number of pages: 43 Posted: 24 Nov 2008 Last Revised: 15 Jun 2016
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,462 (18,082)
Citation 5

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Shortselling, Long/Short, Portfolio Optimization, Mean-Variance Analysis, CAPM, 130/30

Impossible Frontiers

NBER Working Paper No. w14525
Number of pages: 41 Posted: 09 Dec 2008 Last Revised: 11 Mar 2022
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 71 (449,639)

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36.
Downloads 1,448 ( 18,704)
Citation 16

Systemic Risk and the Refinancing Ratchet Effect

MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62 Posted: 15 Sep 2009 Last Revised: 08 Jan 2018
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,366 (20,043)
Citation 17

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Systemic Risk, Financial Crisis, Household Finance, Real Estate, Subprime

Systemic Risk and the Refinancing Ratchet Effect

NBER Working Paper No. w15362
Number of pages: 68 Posted: 21 Sep 2009 Last Revised: 24 Jun 2022
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 82 (413,995)

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The Gordon Gekko Effect: The Role of Culture in the Financial Industry

Number of pages: 45 Posted: 08 Jun 2015 Last Revised: 05 Mar 2021
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,114 (27,207)
Citation 1

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Culture, Corporate Governance, Regulation, Behavioral Finance, Risk Management

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

Economic Policy Review, Issue Aug, pp. 17-42, 2016
Number of pages: 26 Posted: 23 Aug 2016 Last Revised: 16 Dec 2017
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 220 (193,555)

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culture, corporate governance, regulation, behavioral finance, risk management

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

NBER Working Paper No. w21267
Number of pages: 47 Posted: 15 Jun 2015 Last Revised: 12 Aug 2022
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 83 (411,010)
Citation 1

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38.

New Financing Methods in the Biopharma Industry: A Case Study of Royalty Pharma, Inc.

Number of pages: 24 Posted: 24 Sep 2013 Last Revised: 28 Feb 2021
Andrew W. Lo and Sourya Naraharisetti
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Duke University
Downloads 1,385 (20,027)
Citation 3

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Biotech, Pharmaceutical, Translational Medicine, Drug Royalty Investment Company, Intellectual Property, Royalties, Corporate Finance

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Number of pages: 59 Posted: 29 Jun 2009
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,093 (27,937)
Citation 10

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liquidity, illiquidity, hedge funds, mutual funds, equity premium, market microstructure

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Number of pages: 59 Posted: 29 Jun 2009
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 222 (191,814)
Citation 10

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liquidity, illiquidity, hedge funds, mutual funds, equity premium, market microstructure

40.

Machine Learning with Statistical Imputation for Predicting Drug Approvals

Number of pages: 60 Posted: 25 May 2017 Last Revised: 21 May 2019
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
Downloads 1,307 (21,808)
Citation 3

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biotech; pharmaceuticals; risk management; machine learning

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

MIT Sloan Working Paper No. 4217-01
Number of pages: 65 Posted: 06 Nov 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,232 (23,450)

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Trading Volume, Asset Pricing, Market Microstructure, Market Efficiency

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

NBER Working Paper No. w8565
Number of pages: 65 Posted: 25 Oct 2001 Last Revised: 29 May 2022
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 73 (442,776)
Citation 6

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42.

Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Number of pages: 30 Posted: 11 Jun 2018 Last Revised: 01 Jul 2018
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,271 (22,744)
Citation 2

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Investments; Performance Attribution; Portfolio Management; Alpha; Spectral Analysis

43.

The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds

MIT Sloan Research Paper No. 6163-20
Number of pages: 51 Posted: 07 Aug 2020 Last Revised: 28 Feb 2021
Andrew W. Lo, Egor Matveyev and Stefan Zeume
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Illinois at Urbana-Champaign
Downloads 1,253 (23,242)
Citation 2

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Endowment Funds, Long-term Asset Management, Governance of Nonprofit Organizations

44.

Consumer Credit Risk Models Via Machine-Learning Algorithms

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 13 Mar 2010 Last Revised: 28 Mar 2010
Amir Khandani, Adlar J. Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,232 (23,841)
Citation 34

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Household Behavior, Consumer Credit Risk, Risk Management, Credit Card Borrowing, Machine Learning, Nonparametric Estimation

The Psychophysiology of Real-Time Financial Risk Processing

Number of pages: 39 Posted: 18 Sep 2001
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and SKOLKOVO Moscow School of Management
Downloads 1,106 (27,486)
Citation 18

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Behavioral Finance, Market Efficiency, Market Rationality, Psychology, Psychophysiology

The Psychophysiology of Real-Time Financial Risk Processing

NBER Working Paper No. w8508
Number of pages: 34 Posted: 29 Sep 2001 Last Revised: 03 Apr 2022
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and SKOLKOVO Moscow School of Management
Downloads 104 (356,054)

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46.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,181 (25,347)
Citation 6

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systematic risk, factor models, investment horizon, cross-sectional pricing

47.

Quantifying the Impact of Impact Investing

Number of pages: 69 Posted: 18 Oct 2021 Last Revised: 19 Apr 2022
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 1,161 (26,063)

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Impact Investing, ESG Investing, Socially Responsible Investing, Venture Philanthropy, Investments

48.

Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations

Journal of Investment Management, 4th Quarter, 2004
Number of pages: 44 Posted: 22 Nov 2004
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,151 (26,313)
Citation 4

Abstract:

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Hedge funds, risk management, liquidity

49.

The Feasibility of Systemic Risk Measurement: Written Testimony for the House Financial Services Committee Hearing on Systemic Risk Regulation

Number of pages: 11 Posted: 01 Nov 2009 Last Revised: 16 Nov 2009
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,125 (27,191)
Citation 11

Abstract:

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Systemic Risk, Financial Crises, Regulation

50.

World of EdCraft: Challenges and Opportunities in Synchronous Online Teaching

Number of pages: 104 Posted: 26 Feb 2021 Last Revised: 22 Feb 2022
Andrew W. Lo, Brian Stevens and Sean P. Willems
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Haslam College of Business, University of Tennessee, Knoxville and Haslam College of Business, University of Tennessee, Knoxville
Downloads 1,116 (27,576)

Abstract:

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online teaching, distance learning, live streaming, MOOC, gamification

51.

Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective

Annual Review of Financial Economics, Forthcoming
Number of pages: 95 Posted: 17 Jan 2017 Last Revised: 04 Jun 2020
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, MIT and University of Chicago - Department of Economics
Downloads 1,059 (29,685)
Citation 2

Abstract:

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Macrofinancial Models; Dynamic Stochastic General Equilibrium Models; Macroprudential Policy; Systemic Risk; Monetary Policy Analysis

52.

Law is Code: A Software Engineering Approach to Analyzing the United States Code

Number of pages: 75 Posted: 21 Oct 2014
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), Massachusetts Institute of Technology, Sloan School of Management, Students, Harvard University - Berkman Klein Center for Internet & Society, Harvard Law SchoolHarvard University - Berkman Klein Center for Internet & Society and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,045 (30,268)
Citation 11

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53.

Modeling and Measuring Systemic Risk

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 5 Posted: 12 Aug 2011
Princeton University - Department of Economics, University of Chicago - Department of Economics, University of Chicago, Booth School of Business, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,037 (30,586)
Citation 2

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54.

Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs

Number of pages: 52 Posted: 27 Nov 2015
Andrew W. Lo and Alexander Remorov
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,003 (32,060)

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Stop-Loss Strategy, Portfolio Insurance, Risk Management, Investments, Portfolio Management, Asset Allocation, Performance Attribution, Behavioral Finance

55.
Downloads 985 ( 32,887)
Citation 12

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 519 (75,880)
Citation 3

Abstract:

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Hedge funds, institutional investors, market efficiency

Hedge Fund Holdings and Stock Market Efficiency

Review of Asset Pricing Studies (RAPS), Forthcoming
Number of pages: 65 Posted: 14 Jun 2016 Last Revised: 20 Apr 2017
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 466 (86,548)
Citation 10

Abstract:

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hedge funds, institutional investors, equity holdings, market efficiency, liquidity crises

56.

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

NBER Working Paper No. w2168
Number of pages: 47 Posted: 25 Jul 2007 Last Revised: 06 Jun 2021
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 839 (41,184)
Citation 67

Abstract:

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57.

Is it Real, or is it Randomized?: A Financial Turing Test

Number of pages: 12 Posted: 26 Feb 2010 Last Revised: 25 Jan 2015
Babson College - Finance Division, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Northeastern University
Downloads 837 (41,372)
Citation 3

Abstract:

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Market Efficiency, Human Pattern Recognition, Machine/Human Interfaces, Technical Analysis, Video Games

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

Number of pages: 34 Posted: 25 Jan 2016
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 508 (77,904)
Citation 6

Abstract:

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Financial Technology, Systemic Risk, Macroprudential Policy, Risk Management

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

BIS Working Paper No. 564
Number of pages: 44 Posted: 07 Jun 2016
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 324 (130,924)

Abstract:

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Financial technology, systemic risk, macroprudential policy, risk management

59.

Black's Leverage Effect is not Due to Leverage

Number of pages: 25 Posted: 16 Feb 2011
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 830 (41,773)
Citation 39

Abstract:

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Volatility, Leverage Effect, Return/Volatility Relationship, Time-Varying Expected Return, Behavioral Finance

60.

Funding Long Shots

Rotman School of Management Working Paper No. 3058472
Number of pages: 51 Posted: 25 Oct 2017 Last Revised: 09 Apr 2019
John C. Hull, Andrew W. Lo and Roger Stein
University of Toronto - Rotman School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 829 (41,837)
Citation 7

Abstract:

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Capital Budgeting; Impact Investing; Venture Capital; Private Equity; Megafund; Securitization; Portfolio Theory; Research-Backed Obligation

61.

Macro-Finance Models with Nonlinear Dynamics

Annual Review of Financial Economics, forthcoming, University of Chicago, Becker Friedman Institute for Economics Working Paper, The Rodney L. White Center Working Papers Series at the Wharton School
Number of pages: 71 Posted: 23 Sep 2019 Last Revised: 03 Nov 2021
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 798 (44,047)

Abstract:

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Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

62.

Measuring Risk Preferences and Asset-Allocation Decisions: A Global Survey Analysis

Number of pages: 58 Posted: 06 Nov 2019
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 783 (45,141)

Abstract:

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Asset Allocation, Risk Aversion, Behavioral Finance, Retail Investors, Institutional Investors, Financial Advisors

63.

Spectral Portfolio Theory

Number of pages: 44 Posted: 03 Jun 2016
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 774 (45,825)
Citation 20

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Portfolio Theory, Portfolio Optimization, Spectral Analysis, Cycles, Active/Passive Decomposition

The National Transportation Safety Board: A Model for Systemic Risk Management

Number of pages: 48 Posted: 24 Oct 2010 Last Revised: 16 Nov 2010
Eric Fielding, Andrew W. Lo and Jian Helen Yang
National Transportation Safety Board, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT Sloan School of Management
Downloads 683 (53,469)
Citation 8

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Systemic Risk, Risk Management, Financial Regulation, Office of Financial Research, NTSB

The National Transportation Safety Board: A Model for Systemic Risk Management

Journal of Investment Management (JOIM), First Quarter 2011
Posted: 09 Apr 2011
Eric Fielding, Andrew W. Lo and Jian Helen Yang
National Transportation Safety Board, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT Sloan School of Management

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risk management, systemic risk, forensic finance, NTSB

65.

The Growth of Relative Wealth and the Kelly Criterion

Number of pages: 24 Posted: 06 Feb 2019 Last Revised: 19 Oct 2021
Andrew W. Lo, Allen Orr and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Rochester - Department of Biology and Peking University
Downloads 615 (61,936)
Citation 5

Abstract:

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Kelly Criterion, Portfolio Optimization, Adaptive Markets Hypothesis, Evolutionary Game Theory

66.

Estimating Clinical Trial Success Rates and Related Parameters in Oncology

Number of pages: 20 Posted: 14 Apr 2019 Last Revised: 09 May 2019
Chi Heem Wong, Kien Wei Siah and Andrew W. Lo
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 577 (67,628)
Citation 23

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Probabilities of Success; Clinical Trials; Biostatistics; Oncology; Healthcare Finance

Competition and R&D Financing: Evidence from the Biopharmaceutical Industry

MIT Sloan Research Paper No. 5140-15
Number of pages: 49 Posted: 25 Jan 2015 Last Revised: 12 Feb 2018
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 521 (75,519)
Citation 1

Abstract:

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Healthcare Finance; Pharmaceutical Industry; Biotechnology Industry; Capital Structure; R&D Investments; Competition; Innovation

Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry

NBER Working Paper No. w20903
Number of pages: 69 Posted: 02 Feb 2015 Last Revised: 14 Aug 2022
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 43 (569,183)

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68.

When are Contrarian Profits Due to Stock Market Overreaction?

NBER Working Paper No. w2977
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 20 Feb 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 529 (74,874)
Citation 42

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69.

Explainable Machine Learning Models of Consumer Credit Risk

Number of pages: 48 Posted: 14 Jan 2022 Last Revised: 25 Apr 2022
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, affiliation not provided to SSRN, affiliation not provided to SSRN, Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science, Massachusetts Institute of Technology (MIT) and Peking University
Downloads 511 (78,502)

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Machine Learning; Interpretability; Explainable AI; Credit Lending; Inductive Logic Programming; Optimal Trees; LIME; SHAP; Counterfactual.

Financing Correlated Drug Development Projects

Number of pages: 34 Posted: 21 Nov 2020
Andrew W. Lo and Kien Wei Siah
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 409 (100,775)

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Securitization, Capital Structure, Biotech, Drug Development, Healthcare Finance

Financing Correlated Drug Development Projects

Number of pages: 24 Posted: 07 Nov 2020
Andrew W. Lo and Kien Wei Siah
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 101 (363,128)

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Securitization; Biotechnology; Research Backed Obligation; Biomedical Mega-Fund; Portfolio Theory; Monte Carlo Simulation

71.
Downloads 474 ( 85,551)
Citation 1

Sharing R&D Risk in Healthcare via FDA Hedges

The Review of Corporate Finance Studies, forthcoming, MIT Sloan Research Paper No. 5194-17
Number of pages: 72 Posted: 03 Apr 2017 Last Revised: 11 Nov 2021
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 454 (89,260)

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Healthcare Finance, R&D Investments, Drug Development, FDA Approval, Idiosyncratic Risk, Risk sharing, Hedging

Sharing R&D Risk in Healthcare Via Fda Hedges

NBER Working Paper No. w23344
Number of pages: 51 Posted: 01 May 2017 Last Revised: 15 Apr 2022
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 20 (725,362)

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72.

Venture Philanthropy: A Case Study of the Cystic Fibrosis Foundation

Number of pages: 23 Posted: 23 May 2019
Esther Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 426 (96,996)
Citation 1

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Venture Philanthropy; Venture Capital; Impact Investing; Cystic Fibrosis

73.

What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!

Number of pages: 9 Posted: 11 Jan 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 411 (101,040)

Abstract:

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physics envy, theory envy, financial crisis

74.

Global Realignment in Financial Market Dynamics

SAFE Working Paper No. 304
Number of pages: 39 Posted: 04 Feb 2021 Last Revised: 11 Jan 2022
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Stockholm University
Downloads 376 (111,890)
Citation 1

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Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance

75.

Securities Trading of Concepts (STOC)

Number of pages: 58 Posted: 23 Jul 2008 Last Revised: 20 Sep 2010
University of California, Los Angeles (UCLA) - Department of Urology, Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences and AlphaSimplex Group, LLC
Downloads 366 (115,339)
Citation 12

Abstract:

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prediction markets, experimental markets, new product development, consumer preferences

76.
Downloads 345 (123,097)
Citation 20

Risk and Risk Management in the Credit Card Industry

Number of pages: 62 Posted: 16 Jun 2015 Last Revised: 14 Jun 2016
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 297 (143,481)
Citation 2

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credit risk, consumer finance, credit cards, risk management, machine learning, big data

Risk and Risk Management in the Credit Card Industry

NBER Working Paper No. w21305
Number of pages: 66 Posted: 29 Jun 2015 Last Revised: 20 Mar 2022
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 48 (543,851)
Citation 15

Abstract:

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77.

SBE 2020: A Complete Theory of Human Behavior

Number of pages: 7 Posted: 03 Oct 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 320 (133,363)

Abstract:

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Efficient Markets, Rational Expectations, Behavioral Finance, Consilience

78.

The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation

NBER Working Paper No. t0066
Number of pages: 41 Posted: 16 Jul 2004 Last Revised: 09 Mar 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 313 (136,457)

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79.

A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer

Number of pages: 17 Posted: 11 Dec 2018
Massachusetts Institute of Technology, Harvard University - Business School (HBS), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Lyrid LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Southern California - Division of Gynecologic Oncology and University of Wisconsin - Madison - School of Medicine and Public Health
Downloads 311 (137,417)

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biotech; venture capital; healthcare finance; investments

80.
Downloads 304 (140,778)
Citation 1

Optimal Financing for R&D-Intensive Firms

MIT Sloan Research Paper No. 5240-17
Number of pages: 41 Posted: 11 Sep 2017 Last Revised: 20 Aug 2018
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 259 (165,154)

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R&D Investments, Innovation, Capital Structure, Cash Holdings, Mechanism Design

Optimal Financing for R&D-Intensive Firms

NBER Working Paper No. w23831
Number of pages: 62 Posted: 18 Sep 2017 Last Revised: 14 Aug 2022
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 45 (558,778)

Abstract:

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81.

Competition and R&D Financing: Evidence from the Biopharmaceutical Industry

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 85 Posted: 29 Jan 2021 Last Revised: 05 May 2021
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 273 (157,183)

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Healthcare Finance, Pharmaceutical Industry, Biotechnology Industry, Capital Structure, R&D Investments, Cash Holdings, Competition, Innovation

82.

Maximizing Predictability in the Stock and Bond Markets

NBER Working Paper No. w5027
Number of pages: 60 Posted: 25 Jul 2000 Last Revised: 28 Mar 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 264 (162,575)

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83.

Business Models to Cure Rare Disease: A Case Study of Solid Biosciences

Number of pages: 19 Posted: 06 Nov 2016
Esther Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 262 (163,840)

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biotech investments, venture capital, portfolio management

84.

Risk and Reward in the Orphan Drug Industry

MIT Sloan Research Paper No. 5582-18
Number of pages: 26 Posted: 16 Oct 2018
Andrew W. Lo and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
Downloads 257 (167,009)
Citation 1

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Risk, Return, Index, Biopharmaceutical Industry, Orphan Drugs, Drug Development

85.

Long-Term Memory in Stock Market Prices

NBER Working Paper No. w2984
Number of pages: 47 Posted: 17 Oct 2007 Last Revised: 27 Feb 2022
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 250 (171,556)

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86.

Pricing for Survival in the Biopharma Industry: A Case Study of Acthar Gel and Questcor Pharmaceuticals

Number of pages: 35 Posted: 22 Sep 2017
Terence Burnham, Samuel Huang and Andrew W. Lo
Chapman University - The George L. Argyros School of Business & Economics, Massachusetts Institute of Technology (MIT) - Lab for Financial Engineering, Students and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 237 (180,585)

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Biotech; Pharmaceuticals; Drug Pricing; Acthar; Questcor; Rare Diseases

87.

Econometric Models of Limit-Order Executions

NBER Working Paper No. w6257
Number of pages: 66 Posted: 24 Jul 2000 Last Revised: 11 Apr 2022
Andrew W. Lo, A. Craig Mackinlay and June Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Pennsylvania - The Wharton School, Finance Department and affiliation not provided to SSRN
Downloads 237 (180,585)

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88.

Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?: An Analytical Framework

Texas Law Review, Vol. 90, No. 7, 2012
Number of pages: 36 Posted: 30 May 2012 Last Revised: 05 Sep 2012
Andrew W. Lo and Thomas J. Brennan
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Harvard Law School
Downloads 231 (185,060)
Citation 1

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Leverage, Liquidity, Financial Regulation, Capital Requirements, Macroprudential Policies, Net Capital Rules

89.

Funding Translational Medicine via Public Markets: The Business Development Company

Number of pages: 37 Posted: 25 Aug 2015
Proskauer Rose LLP, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Proskauer Rose LLP and Massachusetts Institute of Technology (MIT) - MIT Media LaboratoryMagyar & Bogle
Downloads 226 (188,863)

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Business Development Company, Megafund, Biotech, Pharmaceutical, Translational Medicine, Drug Royalty Investment Company, Intellectual Property, Royalties, Corporate Finance

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

NBER Working Paper No. w7625
Number of pages: 56 Posted: 21 May 2000 Last Revised: 04 May 2022
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 222 (191,814)
Citation 9

Abstract:

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

Review of Financial Studies, Vol. 13, Iss. 2
Posted: 08 Dec 1999
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Financing Vaccines for Global Health Security

Number of pages: 38 Posted: 11 May 2020 Last Revised: 28 Sep 2021
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 173 (240,435)

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vaccines fund, emerging infectious diseases, healthcare finance

Financing Vaccines for Global Health Security

NBER Working Paper No. w27212
Number of pages: 39 Posted: 26 May 2020 Last Revised: 09 May 2022
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 36 (608,411)

Abstract:

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92.

Estimating Policy Trajectories During the Financial Crisis

NLP Unshared Task in PoliInformatics 2014
Number of pages: 5 Posted: 09 Jun 2014
William Li, David Larochelle and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), Harvard University - Berkman Klein Center for Internet & Society and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 192 (219,592)

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financial crisis, public policy, natural language processing, analytics, machine learning, data mining

93.

An Econometric Analysis of Nonsynchronous Trading

NBER Working Paper No. w2960
Number of pages: 39 Posted: 28 Dec 2006 Last Revised: 05 Aug 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 191 (220,590)
Citation 4

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94.

Privacy-Preserving Methods for Sharing Financial Risk Exposures

Number of pages: 28 Posted: 20 Nov 2011 Last Revised: 25 Nov 2011
Emmanuel A. Abbe, Amir Khandani and Andrew W. Lo
Ecole Polytechnique Fédérale de Lausanne, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 188 (223,637)
Citation 4

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Systemic Risk, Risk Management, Financial Crisis, Cryptography, Security Multi-Party Computation

95.

Data-Snooping Biases in Tests of Financial Asset Pricing Models

NBER Working Paper No. w3001
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 16 Mar 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 187 (224,649)
Citation 48

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Implementing Option Pricing Models When Asset Returns are Predictable

NBER Working Paper No. w4720
Number of pages: 55 Posted: 01 Sep 2000 Last Revised: 27 May 2022
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 183 (228,969)
Citation 4

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Implementing Option Pricing Models When Asset Returns are Predictable

JOURNAL OF FINANCE, Vol 50, No 1, March 1995
Posted: 20 Dec 1998
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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97.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 01 May 2022
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 177 (235,588)
Citation 2

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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

NBER Working Paper No. w5351
Number of pages: 51 Posted: 20 Jul 2000 Last Revised: 14 Feb 2022
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 167 (247,694)
Citation 1

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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Posted: 02 Aug 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Abstract:

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

NBER Working Paper No. t0059
Number of pages: 32 Posted: 27 Jun 2007 Last Revised: 01 Sep 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 95 (377,771)
Citation 1

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

NBER Working Paper No. t0059
Number of pages: 32 Posted: 03 Jul 2007 Last Revised: 02 Mar 2022
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 70 (453,205)

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100.

Social Contagion and the Survival of Diverse Investment Styles

Number of pages: 49 Posted: 23 Feb 2022
Marshall School of Business, USC, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 164 (251,187)

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Contagion, Investment Styles, Investor Behavior, Investor Psychology, Adaptive Markets

Paying off the Competition: Market Power and Innovation Incentives

MIT Sloan Research Paper No. 6040-19
Number of pages: 60 Posted: 30 Jun 2021 Last Revised: 29 Sep 2021
Xuelin Li, Andrew W. Lo and Richard T. Thakor
University of South Carolina - Darla Moore School of Business, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
Downloads 141 (284,854)

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Drug Development, Pharmaceutical Industry, Monopoly, Antitrust, Market Power, Competition, Innovation

Paying Off the Competition: Market Power and Innovation Incentives

NBER Working Paper No. w28964
Number of pages: 60 Posted: 28 Jun 2021 Last Revised: 07 Jul 2022
Xuelin Li, Andrew W. Lo and Richard T. Thakor
University of South Carolina - Darla Moore School of Business, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
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102.

Nonparametric Risk Management and Implied Risk Aversion

NBER Working Paper No. w6130
Number of pages: 50 Posted: 20 Jul 2000 Last Revised: 03 Apr 2022
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 151 (268,823)
Citation 2

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103.

An Ordered Probit Analysis of Transaction Stock Prices

NBER Working Paper No. w3888
Number of pages: 74 Posted: 27 Dec 2006 Last Revised: 16 Feb 2022
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 149 (271,742)

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104.

Bridging the Valley of Death through Financial Innovation: Written Testimony of Andrew W. Lo Prepared for the U.S. House of Representatives Financial Services Committee

Number of pages: 15 Posted: 21 Sep 2019
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 143 (280,758)
Citation 1

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Financial Regulation; Private Markets; Rare Disease Fund Act of 2019; Securitization; Biomedical Innovation

105.

The Wisdom of Crowds vs. the Madness of Mobs: An Evolutionary Model of Bias, Polarization, and Other Challenges to Collective Intelligence

Number of pages: 50 Posted: 22 Dec 2021 Last Revised: 25 Apr 2022
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
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Collective intelligence, Political polarization, Bias, Discrimination, Evolutionarily stable strategy, Group selection

106.

Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model

NBER Working Paper No. w6250
Number of pages: 64 Posted: 16 Jul 2000 Last Revised: 03 Apr 2022
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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107.

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

NBER Working Paper No. w4718
Number of pages: 51 Posted: 16 Aug 2000 Last Revised: 25 May 2022
Paralation Capital LLC, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences
Downloads 120 (320,386)
Citation 30

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108.

Online Appendix for 'Macro-Finance Models with Nonlinear Dynamics'

Annual Review of Financial Economics, Forthcoming
Number of pages: 61 Posted: 28 Sep 2021 Last Revised: 12 Nov 2021
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 94 (377,318)

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Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

109.

The Sources and Nature of Long-Term Memory in the Business Cycle

NBER Working Paper No. w2951
Number of pages: 42 Posted: 08 Aug 2007 Last Revised: 27 Jul 2022
Joseph G. Haubrich and Andrew W. Lo
Federal Reserve Bank of Cleveland and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 93 (379,863)

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110.

World of Edcraft: Teaching Healthcare Finance at MIT

Number of pages: 25 Posted: 03 Feb 2022 Last Revised: 22 Feb 2022
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 90 (387,640)

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online teaching; distance learning; live streaming; MOOC; gamefication; healthcare finance

111.

Sharing R&D Risk in Healthcare via FDA Hedges

Becker Friedman Institute for Research in Economics Working Paper No. 2017-01
Number of pages: 51 Posted: 07 Apr 2017 Last Revised: 10 Mar 2021
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 78 (421,871)

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Healthcare Finance, R&D Investments, Drug Development, FDA Approval, Idiosyncratic Risk, Risk sharing, Hedging

Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs

NBER Working Paper No. w27176
Number of pages: 27 Posted: 18 May 2020 Last Revised: 27 Jun 2021
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
Downloads 42 (574,501)
Citation 1

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Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs

Number of pages: 27 Posted: 04 Jun 2020
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
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Vaccines, Antibiotics, Infections Diseases, Clinical Trials, Probabilities of Success

113.

Predicting Drug Approvals: The Novartis Data Science and Artificial Intelligence Challenge

Number of pages: 21 Posted: 02 Mar 2021
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Novartis, Novartis, Novartis, Novartis, Novartis, Novartis, Novartis, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 46 (543,228)
Citation 1

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114.

Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics During Epidemic Outbreaks

NBER Working Paper No. w27175
Number of pages: 35 Posted: 18 May 2020 Last Revised: 03 Apr 2022
Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Operations Research Center
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115.

A Cost/Benefit Analysis of Clinical Trial Designs for Covid-19 Vaccine Candidates

NBER Working Paper No. w27882
Number of pages: 54 Posted: 07 Oct 2020 Last Revised: 09 Mar 2022
affiliation not provided to SSRN, Berry Consultants, LLC, affiliation not provided to SSRN, Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
Downloads 39 (578,226)

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116.

Measuring the Economic and Academic Impact of Philanthropic Funding: The Breast Cancer Research Foundation

Number of pages: 26 Posted: 12 Jun 2019
affiliation not provided to SSRN, Memorial Sloan Kettering Cancer Center - Breast Medicine Service, Breast Cancer Research Foundation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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Impact Investing; Non-Profit Organization; Patents; Intellectual Property; Venture Philanthropy

117.

Optimal Impact Portfolios with General Dependence and Marginals

Number of pages: 80 Posted: 09 Aug 2022
Andrew W. Lo, Lan Wu, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University, Peking University and Peking University
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Impact Investing; Environmental, Social, and Governance (ESG); Portfolio Theory; Copula; Heavy Tail

118.

The Derivatives Sourcebook

Foundations and Trends in Finance, Vol. 1, No. 5-6, 2005
Number of pages: 210 Posted: 15 Jun 2010
Goldman Sachs Group, Inc. - Asset Management Group, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of BusinessPlatinum Grove Asset Management L.P.
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119.

Can Financial Engineering Cure Cancer?: A New Approach to Funding Large-Scale Biomedical Innovation

Number of pages: 43 Posted: 20 Dec 2015 Last Revised: 04 Jul 2022
Massachusetts Institute of Technology (MIT), MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
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Financial Innovation, Securitization, Financial Engineering, Healthcare

120.

Estimating the Financial Impact of Gene Therapy in the U.S

NBER Working Paper No. w28628
Number of pages: 87 Posted: 12 Apr 2021 Last Revised: 23 Mar 2022
Massachusetts Institute of Technology (MIT), MIT Laboratory for Financial Engineering, MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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121.

The Effects of Spending Rules and Asset Allocation on Non-Profit Endowments

Forthcoming at the Journal of Portfolio Management
Posted: 25 Apr 2022 Last Revised: 10 Jul 2022
MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Endowment Funds, Long-term Asset Management, Spending Rules

122.

Robert C. Merton: The First Financial Engineer

Annual Review of Financial Economics, Vol. 12, pp. 1-18, 2020
Posted: 10 Dec 2020
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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123.

Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective

Annual Review of Financial Economics, Vol. 12, pp. 95-140, 2020
Posted: 10 Dec 2020
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) and University of Chicago - Department of Economics

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124.

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

Posted: 20 May 2019
Pablo Azar and Andrew W. Lo
Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Social Media, Sentiment, FOMC Meetings, News, Twitter, Event Studies

125.

Momentum, Mean-Reversion and Social Media: Evidence from StockTwits and Twitter

Posted: 01 Jul 2018 Last Revised: 22 May 2019
Massachusetts Institute of Technology (MIT), Students, Massachusetts Institute of Technology, Sloan School of Management, Students, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT), Students
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Sentiment, Market Liquidity, Social Media, Twitter, StockTwits, Mean Reversion, Momentum

126.

Just How Good an Investment is the Biopharmaceutical Sector?

Nature Biotechnology 35 (12), 1149-1157 (2017)
Posted: 22 May 2018
University of Minnesota - Carlson School of Management, Independent, Independent, Independent, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Biotechnology, Pharmaceuticals, Drug Development, Health Care Economics, Business Strategy in Drug Development, Risk

127.

TRC Networks and Systemic Risk

MIT Sloan Research Paper No. 5153-15, https://doi.org/10.3905/jai.2016.18.4.052
Posted: 22 Dec 2015 Last Revised: 22 May 2019
Andrew W. Lo and Roger Stein
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
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Systemic Risk; Network Analysis; Credit Risk

128.

Hedge Fund Beta Replication: A Five-Year Retrospective

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Peter Lee and Andrew W. Lo
Independent and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge funds, liquid alternatives, beta replication, exotic beta, smart beta

129.

Introduction to Volume 5 of the Annual Review of Financial Economics

Annual Review of Financial Economics, Vol. 5, pp. 1-7, 2013
Posted: 08 Nov 2013
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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130.

Liquidity Costs, Return Smoothing, and Investor Flows: Evidence from a Separate Account Platform

Asian Finance Association (AsFA) 2013 Conference
Posted: 24 May 2013
Pennsylvania State University, Texas Christian University, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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131.

Perspectives: Adaptive Markets and the New World Order

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 28 Mar 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Behavioral Finance, Portfolio Management, Asset Allocation, Portfolio Concepts from Capital Market Theory, Efficient Market Hypothesis, Risk Management, Portfolio Risk Management

132.

Preface to the Annual Review of Financial Economics

Annual Review of Financial Economics, Vol. 1, pp. 01-17, 2009
Posted: 03 Jun 2010
Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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133.

130/30: The New Long-Only

Posted: 17 Dec 2007
Andrew W. Lo and Pankaj N. Patel
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Cirrus Research, LLC

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Long/Short Equity, Hedge Funds, Active Extension, Indexes

134.

It's 11pm - Do You Know Where Your Liquidity is? The Mean-Variance Liquidity Frontier

Journal Of Investment Management, Vol. 1, No. 1, First Quarter 2003
Posted: 27 Aug 2006
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, affiliation not provided to SSRN and affiliation not provided to SSRN

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Liquidity, Portfolio Optimization, Transaction, Costs, Visualization

135.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Failures

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Hedge funds, risk management, liquidity

136.

The Statistics of Sharpe Ratios

Posted: 14 Feb 2003
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Performance Measurement and Evaluation, Performance Measurement

137.

Optimal Control of Execution Costs

LFE-1025-96
Posted: 30 Jun 1998
Dimitris Bertsimas and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Other Papers (1)

Total Downloads: 4,643
1.

When Do Stop-Loss Rules Stop Losses?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 05 Mar 2007
Kathryn Kaminski and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,643

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Investments, Portfolio Management, Risk Management, Performance Attribution, Behavioral Finance