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

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

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    • Tel: 617-253-0920
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SCHOLARLY PAPERS

148

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Rank 29

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264,524

TOTAL CITATIONS
Rank 146

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Top 146

in Total Papers Citations

2,143

Scholarly Papers (148)

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1.

Risk Management for Hedge Funds: Introduction and Overview

Downloads 19,216 ( 365)
Citation 57

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 19,216 (358)
Citation 57

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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

2.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Downloads 18,755 ( 382)
Citation 77

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 12,362 (806)
Citation 34

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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 6,393 (2,444)
Citation 43

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

3.

What Happened to the Quants in August 2007?

Downloads 16,235 ( 506)
Citation 57

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 16,235 (499)
Citation 57

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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.

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 14,083 (650)
Citation 7

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Market Efficiency, Behavioral Finance

5.

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 12,434 (801)
Citation 46

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6.

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 12,426 (804)
Citation 73

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Market Efficiency, Behavioral Finance, Bounded Rationality

7.

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

Downloads 11,781 ( 892)
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 11,781 (885)
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

8.

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

Downloads 8,347 ( 1,583)
Citation 18

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 8,347 (1,575)
Citation 18

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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

9.

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 8,202 (1,626)
Citation 13

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Financial Crisis, Systemic Risk, Book Review

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
Monica Billio, Monica Billio, Andrew W. Lo, Mila Getmansky Sherman and Loriana Pelizzon
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 5,969 (2,789)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

11.

Warning: Physics Envy May be Hazardous to Your Wealth!

Downloads 5,455 ( 3,260)
Citation 42

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 5,455 (3,221)
Citation 42

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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

12.

Systemic Risk and Hedge Funds

Downloads 5,438 ( 3,291)
Citation 11

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
Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo
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 4,960 (3,809)
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
Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo
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 478 (121,503)
Citation 9

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13.

A Survey of Systemic Risk Analytics

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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
Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis
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 5,383 (3,310)
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
Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis
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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14.

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

Downloads 5,068 ( 3,723)
Citation 88

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 3,926 (5,577)
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 1,142 (38,386)
Citation 50

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15.

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 4,791 (4,114)

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

16.

Hedge Funds: A Dynamic Industry in Transition

Downloads 4,265 ( 4,980)
Citation 9

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015
Mila Getmansky Sherman, 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) - Laboratory for Financial Engineering
Downloads 4,090 (5,225)
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: 09 Feb 2023
Mila Getmansky Sherman, 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) - Laboratory for Financial Engineering
Downloads 175 (348,435)
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
Mila Getmansky Sherman, 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) - Laboratory for Financial Engineering

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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 3,669 (6,381)
Citation 11

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Efficient Markets, Behavioral Finance, Asset Allocation, Investments

18.

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

Downloads 3,552 ( 6,735)
Citation 82

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

Number of pages: 92 Posted: 07 Mar 2003
Mila Getmansky Sherman, 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) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 3,240 (7,673)
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: 28 Aug 2022
Mila Getmansky Sherman, 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) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 312 (197,355)
Citation 81

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19.

Quantifying the Impact of Impact Investing

Management Science
Number of pages: 79 Posted: 18 Oct 2021 Last Revised: 06 Aug 2023
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 3,462 (7,021)
Citation 7

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

20.

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 2,917 (9,181)
Citation 11

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financial crisis, neuroeconomics, animal spirits, behavioral finance

21.

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

Downloads 2,852 ( 9,499)
Citation 10

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 2,766 (9,818)
Citation 10

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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 2023
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 86 (603,164)

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22.

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 2,838 (9,580)
Citation 4

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23.

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

Downloads 2,644 (10,754)
Citation 7

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

Number of pages: 28 Posted: 15 Apr 2005
Andrew W. Lo, Dmitry V. Repin and Brett N. Steenbarger
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Improbability Foundation and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 2,178 (14,384)
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: 22 Sep 2022
Andrew W. Lo, Dmitry V. Repin and Brett N. Steenbarger
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Improbability Foundation and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 466 (125,219)
Citation 5

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24.

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

Downloads 2,610 (10,967)

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: 26 Oct 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 2,610 (10,764)

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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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25.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
Shomesh Chaudhuri, Terence Burnham and Andrew W. Lo
Massachusetts Institute of Technology, Chapman University - The George L. Argyros College of Business and Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 2,571 (11,269)
Citation 1

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

26.

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 2,483 (11,871)
Citation 1

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

27.

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 2,406 (12,486)
Citation 1

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

28.

Asset Prices and Trading Volume Under Fixed Transactions Costs

Downloads 2,020 (16,513)
Citation 30

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 1,881 (18,218)
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: 18 Sep 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 139 (423,832)

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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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29.

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 1,971 (17,179)
Citation 15

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30.

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 1,942 (17,617)
Citation 2

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

31.

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 1,844 (19,140)
Citation 7

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

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) - Laboratory for Financial Engineering
Downloads 1,805 (19,752)

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33.

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

Number of pages: 47 Posted: 19 Nov 2001
Tomaso Poggio, Andrew W. Lo, Blake LeBaron and Nicholas T. Chan
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 1,773 (20,309)
Citation 12

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

34.

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 1,763 (20,509)
Citation 43

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

35.

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: 17 Jan 2023
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 1,657 (22,565)
Citation 91

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

36.

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 1,608 (23,562)
Citation 3

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

37.

Impossible Frontiers

Downloads 1,608 (23,562)
Citation 4

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 1,516 (25,312)
Citation 4

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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 2022
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 92 (577,972)

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38.

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 1,591 (23,959)
Citation 3

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biotech; pharmaceuticals; risk management; machine learning

39.

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 1,589 (24,005)
Citation 34

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

40.

Non-Parametric Risk Management and Implied Risk Aversion

Number of pages: 49 Posted: 02 Jun 1998
Yacine Ait-Sahalia and Andrew W. Lo
National Bureau of Economic Research (NBER) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,583 (24,148)
Citation 7

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41.

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

Downloads 1,545 (25,075)
Citation 2

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 1,170 (37,037)
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 266 (233,250)

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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: 10 Feb 2023
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 109 (513,272)
Citation 1

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42.

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
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Notre Dame - Mendoza College of Business
Downloads 1,516 (25,799)
Citation 35

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

43.

Systemic Risk and the Refinancing Ratchet Effect

Downloads 1,516 (25,779)
Citation 17

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 1,410 (28,230)
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 2023
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 106 (524,170)

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44.

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 1,478 (26,828)
Citation 2

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

45.

Macro-Finance Models with Nonlinear Dynamics

Downloads 1,436 (27,950)

Macro-Finance Models with Nonlinear Dynamics

Annual Review of Financial Economics, Vol. 15, pp. 407-432, 2023
Posted: 07 Nov 2023
Winston Wei Dou, Andrew W. Lo, Harald Uhlig and Xiang Fang
University of Pennsylvania - The Wharton School, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago - Department of Economics and The University of Hong Kong

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Macro-Finance Models with Nonlinear Dynamics

Annual Review of Financial Economics, Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, University of Chicago, Becker Friedman Institute for Economics Working Paper
Number of pages: 43 Posted: 23 Sep 2019 Last Revised: 21 Feb 2023
Winston Wei Dou, Xiang Fang, Andrew W. Lo and Harald Uhlig
University of Pennsylvania - The Wharton School, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 1,436 (27,464)

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

46.

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

Downloads 1,404 (28,919)
Citation 25

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 1,138 (38,588)
Citation 15

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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 266 (233,250)
Citation 10

Abstract:

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

47.

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

Downloads 1,376 (29,799)
Citation 8

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 1,262 (33,217)
Citation 2

Abstract:

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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 114 (496,047)
Citation 6

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48.

The Psychophysiology of Real-Time Financial Risk Processing

Downloads 1,362 (30,213)
Citation 36

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 Improbability Foundation
Downloads 1,180 (36,603)
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: 02 Oct 2022
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Improbability Foundation
Downloads 182 (336,367)
Citation 18

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49.

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

Downloads 1,355 (30,468)
Citation 8

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
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
University of Pennsylvania - The Wharton School, 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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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
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
University of Pennsylvania - The Wharton School, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, MIT and University of Chicago - Department of Economics
Downloads 1,355 (29,958)
Citation 8

Abstract:

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

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 1,300 (32,392)

Abstract:

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

51.

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 1,251 (34,216)

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

52.

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

Number of pages: 75 Posted: 21 Oct 2014
William Li, Pablo Azar, David Larochelle, Phil Hill, Phil Hill and Andrew W. Lo
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 1,211 (35,828)
Citation 18

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53.

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 Sherman and Shauna X. Mei
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 1,193 (36,628)
Citation 5

Abstract:

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Hedge funds, risk management, liquidity

54.

Can ChatGPT Plan Your Retirement?: Generative AI and Financial Advice

Number of pages: 47 Posted: 19 Feb 2024 Last Revised: 04 Sep 2024
Andrew W. Lo and Jillian Ross
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT CSAIL
Downloads 1,172 (37,604)
Citation 1

Abstract:

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Financial Advisors; Robo Advisors; Financial Technology; Generative AI; Large Language Models; ChatGPT

55.

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 1,155 (38,343)
Citation 11

Abstract:

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Systemic Risk, Financial Crises, Regulation

56.

Hedge Fund Holdings and Stock Market Efficiency

Downloads 1,136 (39,318)
Citation 24

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
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 568 (98,308)
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
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
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 568 (98,308)
Citation 21

Abstract:

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

57.

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 1,107 (40,970)
Citation 20

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

58.

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
Markus K. Brunnermeier, Lars Peter Hansen, Anil K. Kashyap, Arvind Krishnamurthy and Andrew W. Lo
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 1,080 (42,397)
Citation 4

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59.

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

Downloads 1,074 (42,724)
Citation 12

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 1,074 (42,039)
Citation 12

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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

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 1,059 (43,612)
Citation 9

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

61.

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: 05 Dec 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 1,052 (43,990)
Citation 150

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62.

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

Number of pages: 58 Posted: 06 Nov 2019
Andrew W. Lo, Alexander Remorov and Zied Ben Chaouch
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 1,042 (44,568)

Abstract:

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

63.

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

Number of pages: 12 Posted: 26 Feb 2010 Last Revised: 25 Jan 2015
Jasmina Hasanhodzic, Andrew W. Lo and Emanuele Viola
Babson College - Finance Division, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Northeastern University
Downloads 1,030 (45,301)
Citation 3

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

64.

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

Downloads 1,009 (46,637)
Citation 8

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 604 (90,893)
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 405 (148,079)
Citation 2

Abstract:

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Financial technology, systemic risk, macroprudential policy, risk management

65.

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 993 (47,671)
Citation 39

Abstract:

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

66.

Financing Fusion Energy

MIT Sloan Research Paper No. 6657-21
Number of pages: 62 Posted: 23 Dec 2022 Last Revised: 17 May 2023
Abdullah Alhamdan, Zachery Halem, Irene Hernandez, Andrew W. Lo, Manish Singh and Dennis Whyte
MIT School of Management, Lazard, Gataca, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science and MIT Laboratory for Financial Engineering
Downloads 946 (50,986)

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fusion investments, green investments, fusion megafund, fusion portfolio, de-risking strategy, decarbonization, financial engineering

67.

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 892 (55,300)
Citation 1

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Venture Philanthropy; Venture Capital; Impact Investing; Cystic Fibrosis

68.

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 877 (56,608)
Citation 23

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

69.

Financing Correlated Drug Development Projects

Downloads 809 (63,170)
Citation 1

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 581 (95,541)

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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 228 (271,843)
Citation 1

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

70.

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 719 (73,769)
Citation 9

Abstract:

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

71.

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 717 (74,035)
Citation 103

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72.

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

Downloads 659 (82,360)
Citation 3

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 592 (93,268)
Citation 1

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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: 12 Feb 2023
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 67 (694,793)
Citation 2

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73.

Global Realignment in Financial Market Dynamics

SAFE Working Paper No. 304
Number of pages: 93 Posted: 04 Feb 2021 Last Revised: 27 Nov 2023
Monica Billio, Monica Billio, Andrew W. Lo, Loriana Pelizzon, Mila Getmansky Sherman and Abalfazl Zareei
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 642 (85,185)
Citation 2

Abstract:

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

74.

Sharing R&D Risk in Healthcare via FDA Hedges

Downloads 584 (96,128)

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
Adam Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 536 (105,709)

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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 2023
Adam Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 48 (815,552)

Abstract:

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75.

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 561 (101,125)
Citation 21

Abstract:

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76.

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 528 (109,066)
Citation 3

Abstract:

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

77.

Optimal Impact Portfolios with General Dependence and Marginals

Operations Research, forthcoming
Number of pages: 108 Posted: 09 Aug 2022 Last Revised: 29 Feb 2024
Andrew W. Lo, Lan Wu, Ruixun Zhang and Chaoyi Zhao
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Peking University, Peking University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 480 (122,351)
Citation 1

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Impact Investing; Environmental, Social, and Governance (ESG); Induced Order Statistics; Copula; Representation Theorem; Portfolio Theory

78.

Risk and Risk Management in the Credit Card Industry

Downloads 459 (129,374)
Citation 29

Risk and Risk Management in the Credit Card Industry

Number of pages: 62 Posted: 16 Jun 2015 Last Revised: 24 Aug 2022
Florentin Butaru, Qingqing Chen, Brian J. Clark, Sanmay Das, Andrew W. Lo and Akhtar R. Siddique
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 366 (165,945)
Citation 12

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: 20 Mar 2022
Florentin Butaru, Qingqing Chen, Brian J. Clark, Sanmay Das, Andrew W. Lo and Akhtar R. Siddique
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 93 (577,972)
Citation 17

Abstract:

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79.

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 2023
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 448 (132,879)

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80.

Performance Attribution for Portfolio Constraints

Forthcoming in Management Science
Winner of the Commodity and Energy Markets Association (CEMA) Questrom-CEMA Best Paper Award
Winner of the CFRI&CIRF-China Finance Review International Research Excellence Award (Asset Management)
, MIT Sloan School of Management Working Paper Series
Number of pages: 91 Posted: 01 Nov 2023 Last Revised: 21 Oct 2024
Andrew W. Lo and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 447 (133,247)

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Portfolio Theory, Performance Attribution, Constraints, Information, ESG Investing, Socially Responsible Investing JEL Classification: C10, G11, G12, Q56

81.

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 440 (135,811)

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physics envy, theory envy, financial crisis

82.

What Fusion Energy Can Learn From Biotechnology

Number of pages: 45 Posted: 15 Apr 2024 Last Revised: 25 Oct 2024
Andrew W. Lo and Dennis Whyte
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT Laboratory for Financial Engineering
Downloads 435 (137,664)

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fusion energy; sustainability; megafund; biotechnology;

83.

Optimal Financing for R&D-Intensive Firms

Downloads 434 (138,043)
Citation 1

Optimal Financing for R&D-Intensive Firms

MIT Sloan Research Paper No. 5240-17
Number of pages: 58 Posted: 11 Sep 2017 Last Revised: 29 Aug 2023
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 350 (174,303)

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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: 12 Feb 2023
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 84 (612,066)
Citation 1

Abstract:

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84.

Social Contagion and the Survival of Diverse Investment Styles

Number of pages: 72 Posted: 23 Feb 2022 Last Revised: 27 Jul 2023
David Hirshleifer, Andrew W. Lo and Ruixun Zhang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 419 (143,743)
Citation 1

Abstract:

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

85.

Securities Trading of Concepts (STOC)

Number of pages: 58 Posted: 23 Jul 2008 Last Revised: 20 Sep 2010
Ely Dahan, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio and Nicholas T. Chan
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 404 (149,976)
Citation 13

Abstract:

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

86.

A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer

Number of pages: 17 Posted: 11 Dec 2018
Shomesh Chaudhuri, Katherine Cheng, Andrew W. Lo, Shirley Pepke, Sergio Rinaudo, Lynda` Roman and Ryan Spencer
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 387 (157,285)

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biotech; venture capital; healthcare finance; investments

87.

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 361 (170,001)
Citation 3

Abstract:

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

88.

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 College of Business and Economics, Massachusetts Institute of Technology (MIT) - Lab for Financial Engineering, Students and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 355 (173,126)
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Biotech; Pharmaceuticals; Drug Pricing; Acthar; Questcor; Rare Diseases

89.

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
Downloads 351 (175,254)
Citation 3

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Collective intelligence, Political polarization, Bias, Discrimination, Evolutionarily stable strategy, Group selection

90.

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 350 (175,800)

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biotech investments, venture capital, portfolio management

91.

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 344 (179,166)

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Efficient Markets, Rational Expectations, Behavioral Finance, Consilience

92.

Robert C. Merton: The Palgrave Companion to MIT Economics

MIT Sloan Research Paper No. 6931-23
Number of pages: 34 Posted: 17 Mar 2023 Last Revised: 16 Jun 2023
Zvi Bodie and Andrew W. Lo
Boston University and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 331 (186,727)

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Robert C. Merton, option-pricing, derivatives, credit risk, continuous-time finance, Itô calculus, functional finance, macro-financial systemic risk, financial engineering

93.

Maximizing Predictability in the Stock and Bond Markets

NBER Working Paper No. w5027
Number of pages: 60 Posted: 25 Jul 2000 Last Revised: 28 Sep 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 330 (187,324)
Citation 7

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94.

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 322 (192,294)

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95.

Financing Vaccines for Global Health Security

Downloads 311 (199,554)
Citation 2

Financing Vaccines for Global Health Security

Number of pages: 38 Posted: 11 May 2020 Last Revised: 28 Aug 2024
Jonathan Vu, Benjamin Kaplan, Shomesh Chaudhuri, Monique K Mansoura and Andrew W. Lo
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 229 (270,716)

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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: 10 May 2023
Jonathan Vu, Benjamin Kaplan, Shomesh Chaudhuri, Monique K Mansoura and Andrew W. Lo
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 82 (621,059)
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96.

Implementing Option Pricing Models When Asset Returns are Predictable

Downloads 301 (206,696)
Citation 4

Implementing Option Pricing Models When Asset Returns are Predictable

NBER Working Paper No. w4720
Number of pages: 55 Posted: 01 Sep 2000 Last Revised: 29 Nov 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 301 (205,173)
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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.

Funding Translational Medicine via Public Markets: The Business Development Company

Number of pages: 37 Posted: 25 Aug 2015
Sandra Forman, Andrew W. Lo, Monica J. Shilling, Grace Sweeney and Grace Sweeney
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 293 (212,571)

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

98.

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

Downloads 290 (214,953)
Citation 42

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: 03 Nov 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 290 (213,392)
Citation 42

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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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99.

Paying off the Competition: Contracting, Market Power, and Innovation Incentives

Downloads 285 (218,828)
Citation 4

Paying off the Competition: Contracting, Market Power, and Innovation Incentives

MIT Sloan Research Paper No. 6040-19
Number of pages: 72 Posted: 30 Jun 2021 Last Revised: 31 Oct 2024
Xuelin Li, Andrew W. Lo and Richard T. Thakor
Columbia University, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
Downloads 213 (290,345)
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Drug Development, Pharmaceutical Industry, Contracting, Monopoly, Antitrust, Market Power, Competition, Innovation

Paying Off the Competition: Contracting, Market Power, and Innovation Incentives

NBER Working Paper No. w28964
Number of pages: 67 Posted: 28 Jun 2021 Last Revised: 20 Feb 2023
Xuelin Li, Andrew W. Lo and Richard T. Thakor
Columbia University, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
Downloads 72 (668,740)
Citation 3

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100.

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 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 277 (225,302)
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101.

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 258 (242,016)
Citation 1

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

102.

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: 29 Nov 2022
James M. Hutchinson, Andrew W. Lo and Tomaso Poggio
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 257 (242,965)
Citation 30

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103.

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

Annual Review of Financial Economics, Forthcoming
Number of pages: 77 Posted: 28 Sep 2021 Last Revised: 28 Apr 2023
Winston Wei Dou, Xiang Fang, Andrew W. Lo and Harald Uhlig
University of Pennsylvania - The Wharton School, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 243 (257,004)
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Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

104.

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 229 (272,105)
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105.

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
Monica Billio, Monica Billio, Mila Getmansky Sherman, Andrew W. Lo and Loriana Pelizzon
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 226 (275,574)
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106.

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
École Polytechnique Fédérale de Lausanne (EPFL), Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 224 (277,943)
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Systemic Risk, Risk Management, Financial Crisis, Cryptography, Security Multi-Party Computation

107.

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 220 (282,799)
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Financial Regulation; Private Markets; Rare Disease Fund Act of 2019; Securitization; Biomedical Innovation

108.

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 211 (294,176)

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

109.

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
National Bureau of Economic Research (NBER) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 209 (296,785)
Citation 2

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110.

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Downloads 207 (299,476)
Citation 2

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 116 (489,464)
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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 2023
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 91 (581,995)

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111.

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

Downloads 207 (299,476)
Citation 1

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: 17 Aug 2022
Yacine Ait-Sahalia and Andrew W. Lo
National Bureau of Economic Research (NBER) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 207 (298,314)
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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
National Bureau of Economic Research (NBER) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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112.

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 2022
Jerry A. Hausman, Andrew W. Lo and A. Craig Mackinlay
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 190 (324,138)
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113.

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
Downloads 177 (345,529)

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114.

Financial Intermediation and the Funding of Biomedical Innovation: A Review

Downloads 163 (371,182)
Citation 11

Financial Intermediation and the Funding of Biomedical Innovation: A Review

Number of pages: 74 Posted: 23 Dec 2022
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 149 (400,575)

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Healthcare Finance, Drug Development, R&D, Pharmaceuticals, Biotechnology, Banks, Financial Intermediation

Financial Intermediation and the Funding of Biomedical Innovation: A Review

NBER Working Paper No. w30594
Number of pages: 75 Posted: 31 Oct 2022 Last Revised: 14 Apr 2023
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 14 (1,167,118)
Citation 11
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115.

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

Downloads 136 (430,249)
Citation 1

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)
Downloads 69 (684,145)

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Vaccines, Antibiotics, Infections Diseases, Clinical Trials, Probabilities of Success

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: 03 Apr 2023
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 67 (694,793)
Citation 1

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116.

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 127 (454,026)

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

117.

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 122 (468,344)

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118.

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
David Fagnan, Jose Maria Fernandez, Andrew W. Lo and Roger Stein
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
Downloads 115 (489,854)

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Financial Innovation, Securitization, Finan