Papers

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ABSTRACT

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei, Journal of Investment Management 2, 6-38.
ABSTRACT

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

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Igor Makarov, Journal of Financial Economics 74, 529-609.
ABSTRACT

What Happened to the Quants in August 2007?

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2007 Khandani, Amir E. and Andrew W. Lo, Journal of Investment Management 5, 29-78.
ABSTRACT

Systemic Risk and Hedge Funds

Capital Markets and Asset-Market Dynamics, Risk Management and Systemic Risk 2006 Chan, Nicholas, Mila Getmansky, Shane Haas, and Andrew W. Lo, In: Carey, M. and Stulz, R. M. (eds.), The Risks of Financial Institutions. University of Chicago Press, Chicago, IL, pp. 235-330.