Publications

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

2008
Lo, Andrew W. (2008), Where Do Alphas Come From?: A Measure of the Value of Active Investment Management, Journal of Investment Management 6 (3), 6–34.

130/30: The New Long-Only

2008
Lo, Andrew W., and Pankaj N. Patel (2008), 130/30: The New Long-Only, Journal of Portfolio Management 34 (2), 12–38.

International Library of Financial Econometrics, Volumes I – V

2007
Lo, Andrew W. (2007), The International Library of Financial Econometrics Series, Volumes 1–5, edited volumes, Edward Elgar Publishing.

Systemic Risk and Hedge Funds

2007
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2007), Systemic Risk and Hedge Funds, In The Risks of Financial Institutions, edited by Mark Carey and René M. Stulz, 235–338.

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

2007
Hasanhodzic, Jasmina, and Andrew W. Lo (2007), Can Hedge-Fund Returns Be Replicated?: The Linear Case, Journal of Investment Management 5 (2), 5–45.

What Happened To The Quants In August 2007?

2007
Khandani, Amir E., and Andrew W. Lo (2007), What Happened to the Quants in August 2007?, Journal of Investment Management 5 (4), 29–78.

The Derivatives Sourcebook

2006
Lim, Terence, Andrew W. Lo, Robert C. Merton, and Myron S. Scholes (2006), The Derivatives Sourcebook, Foundations and Trends in Finance 1 (5–6), 365–572.

Attack of the Clones

2006
Hasanhodzic, Jasmina, and Andrew W. Lo (2006), Attack of the Clones, Institutional Investor's, June, 54–61.

Survival of the Richest

2006
Lo, Andrew W. (2006), Survival of the Richest, Harvard Business Review, March.

Do Hedge Funds Increase Systemic Risks?

2006
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2006), Do Hedge Funds Increase Systemic Risks?, Federal Reserve Bank of Atlanta Economic Review 91 (4), 49–80.

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

2006
Lo, Andrew W., and Jiang Wang (2006), Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, Journal of Finance 61 (6), 2805–2840.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

2005
Lo, Andrew W. (2005), Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis, Journal of Investment Consulting 7 (2), 21–44.

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

2005
Lo, Andrew W., Dmitry V. Repin, Brett N. Steenbarger, David Laibson, David Hirshleifer, and Kevin McCabe (2005), Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, American Economic Review 95 (2), 352–359.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

2004
Lo, Andrew W. (2004), The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30 (5), 15–29.

Asset Prices and Trading Volume Under Fixed Transactions Costs

2004
Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004), Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy 112 (5), 1054–1090.