Papers

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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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Spectral Portfolio Theory (Working Paper)

Capital Markets and Asset-Market Dynamics 2016 Chaudhuri, Shomesh E. and Andrew W. Lo
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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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Hedge Funds: A Dynamic Industry in Transition (Working Paper)

Capital Markets and Asset-Market Dynamics 2015 Getmansky, Mila, Peter A. Lee, and Andrew W. Lo
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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Capital Markets and Asset-Market Dynamics 2000 Lo, Andrew W. and Jiang Wang, Review of Financial Studies 13, 257-300.
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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.
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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.
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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.
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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.
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Can Hedge Funds Time Market Liquidity?

Capital Markets and Asset-Market Dynamics 2013 Cao, Charles, Yong Chen, Bing Liang, and Andrew W. Lo, Journal of Financial Economics 109, 493-516.