Papers

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The Growth of Relative Wealth and the Kelly Criterion (Working Paper)

Foundations of Financial Behavior and Adaptive Markets 2017 Lo, Andrew W., H. Allen Orr, and Ruixun Zhang, Working Paper.
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Stop-Loss Strategies with Serial Correlation, Regime-Switching, and Transaction Costs

Foundations of Financial Behavior and Adaptive Markets, Risk Management and Systemic Risk 2017 Lo, Andrew W. and Alexander Remorov, Journal of Financial Markets 34, 1–15.
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Hedge Fund Holdings and Stock Market Efficiency

Foundations of Financial Behavior and Adaptive Markets, Capital Markets and Asset-Market Dynamics 2017 Cao, Charles, Bing Liang, Andrew W. Lo, and Lubomir Petrasek, The Review of Asset Pricing Studies, rax015, https://doi.org/10.1093/rapstu/rax015.
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What is an Index?

Foundations of Financial Behavior and Adaptive Markets, Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2016 Journal of Portfolio Management 42 (2), 21-36.
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Opinion: A New Approach to Financial Regulation

Foundations of Financial Behavior and Adaptive Markets, Risk Management and Systemic Risk 2015 Levin, Simon and Andrew W. Lo, Proceedings of the National Academy of Sciences 112(41), 12543-12544.
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The Gordon Gekko Effect: The Role of Culture in the Financial Industry (Working Paper)

Foundations of Financial Behavior and Adaptive Markets 2015 Lo, Andrew W.
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Dynamic Loss Probabilities and Implications for Financial Regulation

Foundations of Financial Behavior and Adaptive Markets, Risk Management and Systemic Risk 2014 Brennan, Thomas J. and Andrew W. Lo, Yale Journal on Regulation 31, 667-734.
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The Origin of Risk Aversion

Foundations of Financial Behavior and Adaptive Markets 2014 Zhang, Ruixun, Thomas J. Brennan, and Andrew W. Lo, Proceedings of the National Academy of Sciences 111(50), 17777-17782.
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Group Selection as Behavioral Adaptation to Systematic Risk

Foundations of Financial Behavior and Adaptive Markets 2014 Zhang, Ruixun, Thomas J. Brennan, and Andrew W. Lo, PLoS ONE 9(10), e110848.
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The Origin of Bounded Rationality and Intelligence

Foundations of Financial Behavior and Adaptive Markets 2013 Lo, Andrew W., Proceedings of the American Philosophical Society 157(3), 269-280.