Papers

TO
ABSTRACT

The Origin of Behavior

Foundations of Financial Behavior and Adaptive Markets 2011 Brennan, Thomas J. and Andrew W. Lo, Quarterly Journal of Finance 7, 1043-1050.
ABSTRACT

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

Big Data and Financial Technology 2011 Khandani, Amir E. and Andrew W. Lo, Journal of Financial Markets 14, 1-46.
ABSTRACT

Securities Trading of Concepts (STOC)

Big Data and Financial Technology 2011 Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan, Journal of Marketing Research 48, 497-517.
ABSTRACT

WARNING!: Physics Envy May Be Hazardous to Your Wealth

Risk Management and Systemic Risk 2010 Lo, Andrew W. and Mark Mueller, Journal of Investment Management 8, 13-63.
ABSTRACT

Consumer Credit Risk Models via Machine-Learning Algorithms

Big Data and Financial Technology, Risk Management and Systemic Risk 2010 Khandani, Amir E., Adlar J. Kim, and Andrew W. Lo, Journal of Banking & Finance 34, 2767-2787.
ABSTRACT

Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Capital Markets and Asset-Market Dynamics 2009 Healy, Alexander D. and Andrew W. Lo, Journal of Investment Management 7, 1-20.
ABSTRACT

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

Risk Management and Systemic Risk 2009 Lo, Andrew W., Journal of Financial Economic Policy 1, 4-43.
ABSTRACT

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

Capital Markets and Asset-Market Dynamics 2008 Lo, Andrew W., Journal of Investment Management 6, 1-29.
ABSTRACT

130/30: The New Long-Only

Capital Markets and Asset-Market Dynamics 2008 Lo, Andrew W. and Pankaj Patel, Journal of Portfolio Management 34, 12-38.
ABSTRACT

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

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2007 Hasanhodzic, Jasmina and Andrew W. Lo, Journal of Investment Management 5, 5-45.