Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Harris & Harris Group Professor

100 Main Street

E62-618

Cambridge, MA 02142

United States

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

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

Principal Investigator

Stata Center

Cambridge, MA 02142

United States

SCHOLARLY PAPERS

102

DOWNLOADS
Rank 22

SSRN RANKINGS

Top 22

in Total Papers Downloads

179,255

CITATIONS
Rank 76

SSRN RANKINGS

Top 76

in Total Papers Citations

3,033

Scholarly Papers (102)

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 16,550 (127)
Citation 68

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

Risk Management for Hedge Funds: Introduction and Overview

Financial Analysts Journal, Vol. 57, No. 6, November/December 2001
Posted: 31 Jul 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management

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

2.
Downloads 14,552 ( 172)
Citation 98

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) - Sloan School of Management
Downloads 14,552 (168)
Citation 98

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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) - Sloan School of Management

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

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) - Sloan School of Management
Downloads 10,935 (271)
Citation 29

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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) - Sloan School of Management
Downloads 1,281 (12,040)
Citation 29

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

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) - Sloan School of Management
Downloads 9,852 (274)
Citation 6

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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) - Sloan School of Management
Downloads 9,456 (370)
Citation 50

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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) - Sloan School of Management

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Hedge fund, portfolio management, risk management

6.

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) - Sloan School of Management
Downloads 7,117 (423)
Citation 11

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Market Efficiency, Behavioral Finance

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) - Sloan School of Management
Downloads 7,103 (620)
Citation 10

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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) - Sloan School of Management

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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) - Sloan School of Management

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

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) - Sloan School of Management
Downloads 6,472 (639)
Citation 4

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Financial Crisis, Systemic Risk, Book Review

9.
Downloads 4,985 ( 1,182)
Citation 72

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) - Sloan School of Management
Downloads 4,633 (1,323)
Citation 72

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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 2010
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) - Sloan School of Management
Downloads 352 (71,094)
Citation 72

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10.

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) - Sloan School of Management
Downloads 4,638 (733)
Citation 52

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Market Efficiency, Behavioral Finance, Bounded Rationality

11.
Downloads 4,447 ( 1,447)
Citation 11

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), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)
Downloads 4,447 (1,421)
Citation 11

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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), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

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12.
Downloads 4,434 ( 1,450)
Citation 11

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) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics
Downloads 4,434 (1,425)
Citation 11

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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) - Sloan School of Management

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

13.

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: 25 Apr 2012
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, 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 4,100 (1,339)
Citation 38

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

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) - Sloan School of Management
Downloads 3,881 (1,629)

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

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015
Mila Getmansky, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,493 (2,160)

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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
Mila Getmansky, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 38 (385,521)
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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
Mila Getmansky, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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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) - Sloan School of Management
Downloads 3,243 (2,474)
Citation 36

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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
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 137 (182,217)
Citation 36

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

MIT Sloan Working Paper No. 4288-03; MIT Laboratory for Financial Engineering Working Paper No. LFE-1041A-03; EFMA 2003 Helsinki Meetings
Number of pages: 92 Posted: 07 Mar 2003
Mila Getmansky, Andrew W. Lo and Igor Makarov
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and London Business School
Downloads 3,062 (2,747)
Citation 192

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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
Mila Getmansky, Andrew W. Lo and Igor Makarov
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and London Business School
Downloads 137 (182,217)
Citation 192

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18.

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) - Sloan School of Management
Downloads 2,836 (2,636)

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Efficient Markets, Behavioral Finance, Asset Allocation, Investments

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) - Sloan School of Management
Downloads 2,531 (3,675)
Citation 3

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

MIT Sloan Working Paper No. 4534-05
Number of pages: 28 Posted: 15 Apr 2005
Massachusetts Institute of Technology (MIT) - Sloan School of Management, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 1,790 (6,929)
Citation 17

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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
Massachusetts Institute of Technology (MIT) - Sloan School of Management, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 195 (133,460)
Citation 17

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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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,909 (6,177)

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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: 29 Sep 2015
Vahid Montazerhodjat and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9 (537,606)
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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) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,775 (7,035)
Citation 66

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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
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 65 (301,593)
Citation 66

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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) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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23.

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) - Sloan School of Management
Downloads 1,781 (6,922)
Citation 25

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24.

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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,649 (6,289)
Citation 4

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

25.

Non-Parametric Risk Management and Implied Risk Aversion

CRSP Working Paper No. 468
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) - Sloan School of Management
Downloads 1,453 (9,578)
Citation 106

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26.
Downloads 1,439 ( 10,138)
Citation 2

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) - Sloan School of Management
Downloads 1,391 (10,475)
Citation 2

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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: 10 Sep 2010
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 48 (350,475)
Citation 2

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27.

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) - Sloan School of Management
Downloads 1,429 (10,250)
Citation 23

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

28.

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) - Sloan School of Management
Downloads 1,387 (8,119)
Citation 3

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financial crisis, neuroeconomics, animal spirits, behavioral finance

29.

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

MIT Sloan Working Paper No. 4195-01
Number of pages: 47 Posted: 19 Nov 2001
Massachusetts Institute of Technology (MIT) - Brain and Cognitive Sciences, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Brandeis University - International Business School and AlphaSimplex Group, LLC
Downloads 1,385 (9,953)
Citation 7

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

30.

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) - Sloan School of Management
Downloads 1,375 (9,501)
Citation 12

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

31.
Downloads 1,329 ( 11,526)
Citation 19

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: 05 Feb 2012
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,276 (12,081)
Citation 18

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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
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 53 (334,792)
Citation 19

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32.

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) - Sloan School of Management
Downloads 1,306 (8,519)
Citation 1

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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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,182 (13,641)
Citation 29

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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: 02 Nov 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 53 (334,792)
Citation 29

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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) - Sloan School of Management
Downloads 1,024 (16,966)
Citation 5

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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) - Sloan School of Management
Downloads 189 (137,495)
Citation 5

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

35.

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
Imperial College London - Centre for Global Finance and Technology and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,172 (10,640)

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

The Psychophysiology of Real-Time Financial Risk Processing

MIT Sloan School of Management Working Paper No. 4223-01; MIT Laboratory for Financial Engineering Working Paper No. LFE-1039-01
Number of pages: 39 Posted: 18 Sep 2001
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Sloan School of Management and SKOLKOVO Moscow School of Management
Downloads 1,045 (16,461)
Citation 28

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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
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Sloan School of Management and SKOLKOVO Moscow School of Management
Downloads 83 (261,570)
Citation 28

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37.

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
Andrew W. Lo, Mila Getmansky and Shauna X. Mei
Massachusetts Institute of Technology (MIT) - Sloan School of Management, 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 1,068 (15,417)
Citation 30

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Hedge funds, risk management, liquidity

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

Number of pages: 45 Posted: 08 Jun 2015 Last Revised: 30 Mar 2016
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 901 (20,642)

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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: 15 Dec 2017
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 103 (226,558)

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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: 13 Aug 2015
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 53 (334,792)
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39.

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) - Sloan School of Management
Downloads 970 (16,478)
Citation 1

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Systemic Risk, Financial Crises, Regulation

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: 10 Apr 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 889 (21,079)
Citation 71

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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) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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41.

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) - Sloan School of Management
Downloads 814 (20,307)
Citation 3

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42.

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) - Sloan School of Management
Downloads 614 (24,234)
Citation 1

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

43.
Downloads 606 ( 36,603)
Citation 1

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) - Sloan School of Management and Federal Reserve Board
Downloads 447 (53,472)
Citation 1

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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) - Sloan School of Management and Federal Reserve Board
Downloads 159 (160,582)
Citation 1

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

44.

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

Number of pages: 24 Posted: 24 Sep 2013 Last Revised: 21 Dec 2013
Andrew W. Lo and Sourya V. Naraharisetti
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Duke University
Downloads 596 (19,214)

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

45.

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 School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 576 (23,936)

Abstract:

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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) - Sloan School of Management
Downloads 338 (74,648)

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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) - Sloan School of Management
Downloads 187 (139,603)

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Financial technology, systemic risk, macroprudential policy, risk management

47.

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) - Sloan School of Management
Downloads 488 (38,199)
Citation 4

Abstract:

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

48.

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) - Sloan School of Management and Northeastern University
Downloads 438 (35,535)
Citation 1

Abstract:

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

49.

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: 09 Sep 2008
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 409 (46,487)
Citation 348

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50.

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) - Sloan School of Management
Downloads 354 (66,170)

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physics envy, theory envy, financial crisis

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) - Sloan School of Management and MIT Sloan School of Management
Downloads 350 (71,586)
Citation 4

Abstract:

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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) - Sloan School of Management and MIT Sloan School of Management

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risk management, systemic risk, forensic finance, NTSB

52.

When are Contrarian Profits Due to Stock Market Overreaction?

NBER Working Paper No. w2977
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 22 Aug 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 316 (62,869)
Citation 276

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

MIT Sloan Research Paper No. 5140-15
Number of pages: 46 Posted: 25 Jan 2015 Last Revised: 07 Nov 2017
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 284 (90,984)

Abstract:

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

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
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 14 (508,956)
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54.

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) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Brain and Cognitive Sciences and AlphaSimplex Group, LLC
Downloads 292 (83,233)
Citation 6

Abstract:

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

55.

SBE 2020: A Complete Theory of Human Behavior

Number of pages: 7 Posted: 03 Oct 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 269 (91,833)

Abstract:

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Efficient Markets, Rational Expectations, Behavioral Finance, Consilience

Sharing R&D Risk in Healthcare via FDA Hedges

MIT Sloan Research Paper No. 5194-17
Number of pages: 51 Posted: 03 Apr 2017 Last Revised: 13 Apr 2017
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 258 (100,818)

Abstract:

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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: 07 Jun 2017
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 6 (553,826)
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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) - Sloan School of Management and Government of the United States of America - Risk Analysis Division
Downloads 164 (156,369)

Abstract:

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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: 02 Jul 2015
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) - Sloan School of Management and Government of the United States of America - Risk Analysis Division
Downloads 19 (479,825)
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58.

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: 08 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 174 (124,725)
Citation 38

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59.

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) - Sloan School of Management and Harvard Law School
Downloads 173 (130,627)
Citation 1

Abstract:

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

60.

Maximizing Predictability in the Stock and Bond Markets

NBER Working Paper No. w5027
Number of pages: 60 Posted: 25 Jul 2000 Last Revised: 30 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 158 (137,615)
Citation 29

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61.

Econometric Models of Limit-Order Executions

NBER Working Paper No. w6257
Number of pages: 66 Posted: 24 Jul 2000 Last Revised: 07 Oct 2010
Andrew W. Lo, A. Craig Mackinlay and June Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Pennsylvania - Finance Department and affiliation not provided to SSRN
Downloads 156 (163,123)
Citation 43

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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: 10 Apr 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 141 (177,997)
Citation 155

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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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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63.

An Econometric Analysis of Nonsynchronous Trading

NBER Working Paper No. w2960
Number of pages: 39 Posted: 28 Dec 2006 Last Revised: 09 Aug 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 137 (181,670)
Citation 138

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64.

Long-Term Memory in Stock Market Prices

NBER Working Paper No. w2984
Number of pages: 47 Posted: 17 Oct 2007 Last Revised: 29 Aug 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 124 (166,830)
Citation 114

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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
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 70 (289,488)
Citation 41

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: 03 Jul 2007
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 54 (331,736)
Citation 41

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66.

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) - Sloan School of Management
Downloads 118 (168,739)
Citation 1

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

Implementing Option Pricing Models When Asset Returns are Predictable

NBER Working Paper No. w4720
Number of pages: 55 Posted: 01 Sep 2000
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 117 (206,342)
Citation 37

Abstract:

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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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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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: 24 Sep 2010
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 116 (207,670)
Citation 141

Abstract:

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

Journal of Finance, Vol. 53, No. 2, April 1998
Posted: 02 Aug 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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69.

Funding Long Shots

Rotman School of Management Working Paper No. 3058472
Number of pages: 49 Posted: 25 Oct 2017 Last Revised: 19 Nov 2017
John C. Hull, Andrew W. Lo and Roger M. Stein
University of Toronto - Rotman School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Sloan School of Management, MIT
Downloads 113 (210,814)

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

70.

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: 15 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 112 (190,705)
Citation 238

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71.

Estimating Policy Trajectories During the Financial Crisis

NLP Unshared Task in PoliInformatics 2014
Number of pages: 5 Posted: 09 Jun 2014
William P. 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) - Sloan School of Management
Downloads 109 (165,901)

Abstract:

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

72.

An Ordered Probit Analysis of Transaction Stock Prices

NBER Working Paper No. w3888
Number of pages: 74 Posted: 27 Dec 2006 Last Revised: 18 Aug 2010
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 107 (219,296)
Citation 62

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73.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
Ca 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) - Sloan School of Management and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 95 (193,009)
Citation 45

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Optimal Financing for R&D-Intensive Firms

MIT Sloan Research Paper No. 5240-17
Number of pages: 62 Posted: 11 Sep 2017
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 81 (265,543)

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R&D Investments, Innovation, Capital Structure, Cash Holdings, Risk Shifting, Tax Shields, Mechanism Design

Optimal Financing for R&D-Intensive Firms

NBER Working Paper No. w23831
Number of pages: 62 Posted: 18 Sep 2017
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 10 (532,076)
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75.

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: 07 Oct 2010
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) - Sloan School of Management
Downloads 81 (263,197)
Citation 1

Abstract:

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76.

Nonparametric Risk Management and Implied Risk Aversion

NBER Working Paper No. w6130
Number of pages: 50 Posted: 20 Jul 2000 Last Revised: 06 Apr 2008
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 80 (243,018)
Citation 108

Abstract:

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77.

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: 13 Sep 2004
Paralation Capital LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Brain and Cognitive Sciences
Downloads 67 (267,163)
Citation 35

Abstract:

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78.

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 2010
Joseph G. Haubrich and Andrew W. Lo
Federal Reserve Bank of Cleveland and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 63 (302,783)
Citation 2

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79.

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) - Sloan School of Management, Proskauer Rose LLP and Magyar & Bogle
Downloads 31 (216,301)

Abstract:

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

80.

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) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business
Downloads 18 (468,712)
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81.

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 - Department of Business and Economics, Massachusetts Institute of Technology (MIT) - Lab for Financial Engineering, Students and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (377,531)

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

82.

Machine-Learning Models for Predicting Drug Approvals and Clinical-Phase Transitions

Number of pages: 60 Posted: 25 May 2017 Last Revised: 26 Jul 2017
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT)
Downloads 0 (81,404)

Abstract:

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biotech; pharmaceuticals; risk management; machine learning

83.

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: 17 Apr 2017
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 0 (377,531)

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

84.

The Growth of Relative Wealth and the Kelly Criterion

Number of pages: 24 Posted: 19 Jan 2017 Last Revised: 10 Sep 2017
Andrew W. Lo, Allen Orr and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Rochester and MIT Laboratory for Financial Engineering
Downloads 0 (87,992)

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

85.

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

Number of pages: 174 Posted: 17 Jan 2017
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management, MIT and University of Chicago - Department of Economics
Downloads 0 (94,004)

Abstract:

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

86.

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

Number of pages: 19 Posted: 06 Nov 2016
Esther S. Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (208,104)

Abstract:

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biotech investments, venture capital, portfolio management

87.

Spectral Portfolio Theory

Number of pages: 44 Posted: 03 Jun 2016
Shomesh Ernesto Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (93,629)

Abstract:

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

88.

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

Number of pages: 21 Posted: 31 Mar 2016
Pablo Azar and Andrew W. Lo
Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (5,608)

Abstract:

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

89.

TRC Networks and Systemic Risk

MIT Sloan Research Paper No. 5153-15
Number of pages: 29 Posted: 22 Dec 2015 Last Revised: 03 Mar 2016
Andrew W. Lo and Roger M. Stein
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Sloan School of Management, MIT
Downloads 0 (142,483)

Abstract:

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Systemic Risk; Network Analysis; Credit Risk

90.

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

Posted: 20 Dec 2015
Massachusetts Institute of Technology (MIT), MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Sloan School of Management, MIT

Abstract:

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Financial Innovation, Securitization, Financial Engineering, Healthcare

91.

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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (30,510)

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

92.

What is an Index?

Number of pages: 27 Posted: 12 Oct 2015
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (16,979)

Abstract:

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

93.

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) - Sloan School of Management

Abstract:

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

94.

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) - Sloan School of Management

Abstract:

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95.

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) - Sloan School of Management

Abstract:

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96.

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) - Sloan School of Management

Abstract:

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

97.

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) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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98.

130/30: The New Long-Only

Posted: 17 Dec 2007
Andrew W. Lo and Pankaj N. Patel
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Cirrus Research, LLC

Abstract:

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

99.

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) - Sloan School of Management, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

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Liquidity, Portfolio Optimization, Transaction, Costs, Visualization

100.

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
Mila Getmansky, Andrew W. Lo and Shauna X. Mei
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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Hedge funds, risk management, liquidity

101.

The Statistics of Sharpe Ratios

Financial Analysts Journal, Vol. 58, No. 4, July/August 2002
Posted: 14 Feb 2003
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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Performance Measurement and Evaluation, Performance Measurement

102.

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) - Sloan School of Management

Abstract:

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Other Papers (1)

Total Downloads: 2,559    Citations: 3
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) - Sloan School of Management
Downloads 1,848
Citation 3

Abstract:

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