Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Harris & Harris Group Professor

100 Main Street

E62-618

Cambridge, MA 02142

United States

http://web.mit.edu/alo/www

Santa Fe Institute

1399 Hyde Park Road

Santa Fe, NM 87501

United States

  • Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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SCHOLARLY PAPERS

129

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SSRN CITATIONS
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1,260

CROSSREF CITATIONS

3,235

Scholarly Papers (129)

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1.

Risk Management for Hedge Funds: Introduction and Overview

Downloads 18,226 ( 186)
Citation 56

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 18,226 (182)
Citation 56

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Risk management, hedge funds, risk transparency, risk budgeting, fund of funds

Risk Management for Hedge Funds: Introduction and Overview

Posted: 31 Jul 2001
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Risk management, hedge funds, risk transparency, risk budgeting, fund of funds

2.

What Happened to the Quants in August 2007?

Downloads 15,578 ( 252)
Citation 47

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 15,578 (246)
Citation 47

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Hedge Funds, Long/Short Equity, Liquidity, Statistical Arbitrage, August 2007

What Happened to the Quants in August 2007?

Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge Funds, quantitative market-neutral, long/short equities, August 2007

3.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Downloads 15,242 ( 264)
Citation 111

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Forthcoming
Number of pages: 44 Posted: 25 May 2005
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 11,903 (427)
Citation 17

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Efficient markets, behavioral finance, adaptive markets

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28 Posted: 05 Nov 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,339 (3,964)
Citation 43

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Behavioral Finance, Market Efficiency, Efficient Markets Hypothesis, Adaptive Markets Hypothesis

4.

Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds

Number of pages: 34 Posted: 17 Nov 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 11,767 (442)
Citation 46

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5.

Efficient Markets Hypothesis

THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007
Number of pages: 28 Posted: 06 Jun 2007
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 10,887 (514)
Citation 7

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Market Efficiency, Behavioral Finance

6.

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

Downloads 10,328 ( 570)
Citation 80

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

Number of pages: 54 Posted: 27 Aug 2006
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 10,328 (563)
Citation 80

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hedge funds, investments, portfolio management, risk management

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

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge fund, portfolio management, risk management

7.

The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management, Forthcoming
Number of pages: 33 Posted: 15 Oct 2004
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 8,965 (726)
Citation 21

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Market Efficiency, Behavioral Finance, Bounded Rationality

8.

Reading About the Financial Crisis: A 21-Book Review

Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 10 Jan 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 7,784 (927)
Citation 11

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Financial Crisis, Systemic Risk, Book Review

9.

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

Downloads 7,760 ( 929)

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

Number of pages: 40 Posted: 26 Mar 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 7,760 (921)
Citation 12

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Alpha, Beta, Performance Attribution, Active Management, Hedge Funds

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

Posted: 06 May 2008
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Alpha, Beta, Performance Attribution, Active Management, Hedge Funds

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

Journal Of Investment Management (JOIM), Third Quarter 2008
Posted: 07 Oct 2008 Last Revised: 09 Jul 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Performance attrribution, performance measurement, alpha, beta, active/passive, timing, forecasting

10.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 28 Feb 2021
Monica Billio, Andrew W. Lo, Mila Getmansky Sherman and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 5,305 (1,802)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

11.

Systemic Risk and Hedge Funds

Downloads 5,192 ( 1,875)
Citation 58

Systemic Risk and Hedge Funds

MIT Sloan Research Paper No. 4535-05, EFA 2005 Moscow Meetings Paper, AFA 2006 Boston Meetings Paper
Number of pages: 111 Posted: 07 Mar 2005
Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo
AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,808 (2,120)
Citation 3

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Hedge funds, systemic risk, financial crises, risk management

Systemic Risk and Hedge Funds

NBER Working Paper No. w11200
Number of pages: 109 Posted: 19 Apr 2005 Last Revised: 10 Aug 2010
Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo
AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 384 (94,286)
Citation 2

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12.

A Survey of Systemic Risk Analytics

Downloads 4,979 ( 2,022)
Citation 187

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
Downloads 4,979 (1,994)
Citation 187

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systemic risk, financial institutions, liquidity, financial crises, risk management

A Survey of Systemic Risk Analytics

Annual Review of Financial Economics, Vol. 4, pp. 255-296, 2012
Posted: 04 Nov 2012
Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)

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13.

Warning: Physics Envy May be Hazardous to Your Wealth!

Downloads 4,920 ( 2,063)

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Andrew W. Lo and Mark T. Mueller
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology, Center for Theoretical Physics
Downloads 4,920 (2,030)
Citation 28

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Quantitative Finance, Efficient Markets, Financial Crisis, History of Economic Thought

Warning: Physics Envy May Be Hazardous to Your Wealth!

Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Quantitative finance, Efficient markets, Financial crisis, History of economic thought

14.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,573 (2,365)

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Financial Econometrics, Asset Pricing, Portfolio Theory, Market Microstructure, Empirical Finance

15.

Hedge Funds: A Dynamic Industry in Transition

Downloads 3,930 ( 3,068)
Citation 14

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015
Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,852 (3,098)
Citation 2

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Hedge Funds, Alternative Investments, Investment Management, Long/Short, Illiquidity, Financial Crisis

Hedge Funds: A Dynamic Industry in Transition

NBER Working Paper No. w21449
Number of pages: 136 Posted: 18 Aug 2015 Last Revised: 08 Feb 2021
Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 78 (378,682)
Citation 7

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Hedge Funds: A Dynamic Industry in Transition

Annual Review of Financial Economics, Vol. 7, pp. 483-577, 2015
Posted: 11 Dec 2015
Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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16.

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

Downloads 3,688 ( 3,401)
Citation 42

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

Number of pages: 60 Posted: 25 Oct 2008
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,471 (3,709)
Citation 38

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hedge funds, systemic risk, market efficiency, statistical arbitrage, long/short equity

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

NBER Working Paper No. w14465
Number of pages: 61 Posted: 10 Nov 2008 Last Revised: 12 Jul 2010
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 217 (172,317)

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17.

Adaptive Markets and the New World Order

Number of pages: 22 Posted: 01 Jan 2012 Last Revised: 05 Jun 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 3,459 (3,814)
Citation 11

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Efficient Markets, Behavioral Finance, Asset Allocation, Investments

18.

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

Downloads 3,318 ( 4,099)
Citation 288

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

Number of pages: 92 Posted: 07 Mar 2003
Mila Getmansky Sherman, Andrew W. Lo and Igor Makarov
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 3,155 (4,404)
Citation 1

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Hedge Funds, Serial Correlation, Market Efficiency, Performance Smoothing, Liquidity

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

NBER Working Paper No. w9571
Number of pages: 90 Posted: 20 Mar 2003 Last Revised: 26 Feb 2021
Mila Getmansky Sherman, Andrew W. Lo and Igor Makarov
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)
Downloads 163 (223,091)
Citation 36

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19.

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

Number of pages: 43 Posted: 04 May 2009
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 2,694 (5,855)
Citation 4

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20.

Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

Downloads 2,428 ( 6,935)
Citation 2

Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

Number of pages: 54 Posted: 11 Aug 2015 Last Revised: 29 Nov 2017
Leah Isakov, Andrew W. Lo and Vahid Montazerhodjat
Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,399 (6,927)
Citation 3

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Clinical Trial Design; Drug-Approval Process; FDA; Bayesian Decision Analysis; Adaptive Design

Is the Fda Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

NBER Working Paper No. w21499
Number of pages: 38 Posted: 31 Aug 2015 Last Revised: 29 Sep 2015
Vahid Montazerhodjat and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 29 (584,010)

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21.

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

Downloads 2,234 ( 7,946)
Citation 41

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

Number of pages: 28 Posted: 15 Apr 2005
Andrew W. Lo, Dmitry V. Repin and Brett N. Steenbarger
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 1,967 (9,574)
Citation 2

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Behaviorial Finance, Market Psychology, Market Efficiency

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

NBER Working Paper No. w11243
Number of pages: 27 Posted: 12 May 2005 Last Revised: 22 Mar 2021
Andrew W. Lo, Dmitry V. Repin and Brett N. Steenbarger
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences
Downloads 267 (140,452)
Citation 5

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22.

Stock Market Trading Volume

THE HANDBOOK OF FINANCIAL ECONOMETRICS, Y. A¨ıt-Sahalia and L. Hansen, eds., New York: North-Holland, 2009
Number of pages: 110 Posted: 16 May 2009
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,179 (8,251)
Citation 1

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Trading Volume, Asset Pricing, Portfolio Theory, Mean-Variance Optimization

23.

Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective

Number of pages: 50 Posted: 14 Oct 2011
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 2,113 (8,684)
Citation 9

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financial crisis, neuroeconomics, animal spirits, behavioral finance

24.

Asset Prices and Trading Volume Under Fixed Transactions Costs

Downloads 1,903 ( 10,315)
Citation 50

Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35
Number of pages: 78 Posted: 07 Jun 2001
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,813 (10,930)
Citation 30

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Asset Pricing, Liquidity, Trading Volume, Transaction Costs

Asset Prices and Trading Volume Under Fixed Transactions Costs

NBER Working Paper No. w8311
Number of pages: 78 Posted: 03 Jun 2001 Last Revised: 19 Mar 2021
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 90 (346,745)

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Asset Prices and Trading Volume Under Fixed Transactions Costs

Journal of Political Economy, Vol. 112, pp. 1054-1090, October 2004
Posted: 03 Sep 2004
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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25.

When is Time Continuous?

MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Number of pages: 51 Posted: 02 Sep 1998
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,856 (10,733)
Citation 8

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26.

A Complete Theory of Human Behavior

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 7 Posted: 12 Aug 2011
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,695 (12,407)

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27.

The Origin of Behavior

Number of pages: 58 Posted: 15 Nov 2009 Last Revised: 23 Nov 2010
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,653 (12,936)
Citation 7

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Behavioral Finance, Probability Matching, Loss Aversion, Risk Aversion, Risk Preferences, Evolution

28.

What is an Index?

Number of pages: 27 Posted: 12 Oct 2015
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,565 (14,072)

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Index Funds, Indexation, Passive Investing, Smart Beta, Liquid Alternatives, Risk Management

29.

Moore's Law vs. Murphy's Law: Algorithmic Trading and Its Discontents

Journal of Economic Perspectives (2013)
Number of pages: 21 Posted: 20 Mar 2013 Last Revised: 22 Jul 2017
Andrei A. Kirilenko and Andrew W. Lo
University of Cambridge - Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,560 (14,146)
Citation 26

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Algorithmic Trading, High Frequency Trading, Financial Regulation, Systemic Risk

30.

Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

Number of pages: 47 Posted: 19 Nov 2001
Tomaso Poggio, Andrew W. Lo, Blake LeBaron and Nicholas T. Chan
Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Brandeis University - International Business School and AlphaSimplex Group, LLC
Downloads 1,549 (14,306)
Citation 8

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Agent-Based Models, Artificial Markets, Experimental Markets, Market Microstructure

31.

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Downloads 1,544 ( 14,376)

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

NBER Working Paper No. w7613
Number of pages: 60 Posted: 16 May 2000 Last Revised: 22 Apr 2021
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,544 (14,119)

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Journal of Finance
Posted: 14 May 2000
Andrew W. Lo, Harry Mamaysky and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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32.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 18 Feb 2015
Charles Cao, Yong Chen, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,540 (14,443)
Citation 45

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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence

33.

Non-Parametric Risk Management and Implied Risk Aversion

Number of pages: 49 Posted: 02 Jun 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,524 (14,677)
Citation 4

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34.

Impossible Frontiers

Downloads 1,502 ( 15,018)
Citation 5

Impossible Frontiers

Number of pages: 43 Posted: 24 Nov 2008 Last Revised: 15 Jun 2016
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,443 (15,712)
Citation 5

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Shortselling, Long/Short, Portfolio Optimization, Mean-Variance Analysis, CAPM, 130/30

Impossible Frontiers

NBER Working Paper No. w14525
Number of pages: 41 Posted: 09 Dec 2008 Last Revised: 10 Sep 2010
Thomas J. Brennan and Andrew W. Lo
Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 59 (440,809)

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35.

Systemic Risk and the Refinancing Ratchet Effect

Downloads 1,403 ( 16,748)
Citation 15

Systemic Risk and the Refinancing Ratchet Effect

MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62 Posted: 15 Sep 2009 Last Revised: 08 Jan 2018
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,339 (17,655)
Citation 17

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Systemic Risk, Financial Crisis, Household Finance, Real Estate, Subprime

Systemic Risk and the Refinancing Ratchet Effect

NBER Working Paper No. w15362
Number of pages: 68 Posted: 21 Sep 2009 Last Revised: 24 Jun 2021
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 64 (422,665)

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36.

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

Downloads 1,354 ( 17,704)
Citation 4

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

Number of pages: 45 Posted: 08 Jun 2015 Last Revised: 05 Mar 2021
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,088 (24,063)
Citation 1

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Culture, Corporate Governance, Regulation, Behavioral Finance, Risk Management

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

Economic Policy Review, Issue Aug, pp. 17-42, 2016
Number of pages: 26 Posted: 23 Aug 2016 Last Revised: 16 Dec 2017
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 201 (185,329)

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culture, corporate governance, regulation, behavioral finance, risk management

The Gordon Gekko Effect: The Role of Culture in the Financial Industry

NBER Working Paper No. w21267
Number of pages: 47 Posted: 15 Jun 2015 Last Revised: 10 Feb 2021
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 65 (419,271)
Citation 1

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37.

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Downloads 1,282 ( 19,142)
Citation 10

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Number of pages: 59 Posted: 29 Jun 2009
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,074 (24,505)
Citation 10

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liquidity, illiquidity, hedge funds, mutual funds, equity premium, market microstructure

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Number of pages: 59 Posted: 29 Jun 2009
Amir Khandani and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 208 (179,399)
Citation 10

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liquidity, illiquidity, hedge funds, mutual funds, equity premium, market microstructure

38.

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

Downloads 1,277 ( 19,273)
Citation 21

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

MIT Sloan Working Paper No. 4217-01
Number of pages: 65 Posted: 06 Nov 2001
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,216 (20,393)

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Trading Volume, Asset Pricing, Market Microstructure, Market Efficiency

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

NBER Working Paper No. w8565
Number of pages: 65 Posted: 25 Oct 2001 Last Revised: 29 May 2021
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 61 (433,361)
Citation 6

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39.

New Financing Methods in the Biopharma Industry: A Case Study of Royalty Pharma, Inc.

Number of pages: 24 Posted: 24 Sep 2013 Last Revised: 28 Feb 2021
Andrew W. Lo and Sourya Naraharisetti
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Duke University
Downloads 1,267 (19,494)
Citation 3

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Biotech, Pharmaceutical, Translational Medicine, Drug Royalty Investment Company, Intellectual Property, Royalties, Corporate Finance

40.

Machine Learning with Statistical Imputation for Predicting Drug Approvals

Number of pages: 60 Posted: 25 May 2017 Last Revised: 21 May 2019
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
Downloads 1,210 (20,901)
Citation 3

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biotech; pharmaceuticals; risk management; machine learning

41.

Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Number of pages: 30 Posted: 11 Jun 2018 Last Revised: 01 Jul 2018
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,193 (21,351)
Citation 2

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Investments; Performance Attribution; Portfolio Management; Alpha; Spectral Analysis

42.

The Psychophysiology of Real-Time Financial Risk Processing

Downloads 1,175 ( 21,871)
Citation 20

The Psychophysiology of Real-Time Financial Risk Processing

Number of pages: 39 Posted: 18 Sep 2001
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and SKOLKOVO Moscow School of Management
Downloads 1,087 (24,093)
Citation 18

Abstract:

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Behavioral Finance, Market Efficiency, Market Rationality, Psychology, Psychophysiology

The Psychophysiology of Real-Time Financial Risk Processing

NBER Working Paper No. w8508
Number of pages: 34 Posted: 29 Sep 2001 Last Revised: 02 Apr 2021
Andrew W. Lo and Dmitry V. Repin
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and SKOLKOVO Moscow School of Management
Downloads 88 (351,777)

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43.

Consumer Credit Risk Models Via Machine-Learning Algorithms

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 13 Mar 2010 Last Revised: 28 Mar 2010
Amir Khandani, Adlar J. Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,168 (22,047)
Citation 34

Abstract:

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Household Behavior, Consumer Credit Risk, Risk Management, Credit Card Borrowing, Machine Learning, Nonparametric Estimation

44.

Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations

Journal of Investment Management, 4th Quarter, 2004
Number of pages: 44 Posted: 22 Nov 2004
Andrew W. Lo, Mila Getmansky Sherman and Shauna X. Mei
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,132 (23,094)
Citation 4

Abstract:

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Hedge funds, risk management, liquidity

45.

The Feasibility of Systemic Risk Measurement: Written Testimony for the House Financial Services Committee Hearing on Systemic Risk Regulation

Number of pages: 11 Posted: 01 Nov 2009 Last Revised: 16 Nov 2009
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,099 (24,123)
Citation 11

Abstract:

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Systemic Risk, Financial Crises, Regulation

46.

Law is Code: A Software Engineering Approach to Analyzing the United States Code

Number of pages: 75 Posted: 21 Oct 2014
William Li, Pablo Azar, David Larochelle, Phil Hill and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), Massachusetts Institute of Technology, Sloan School of Management, Students, Harvard University - Berkman Klein Center for Internet & Society, Harvard Law School and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,006 (27,409)
Citation 11

Abstract:

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47.

Modeling and Measuring Systemic Risk

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 5 Posted: 12 Aug 2011
Markus K. Brunnermeier, Lars Peter Hansen, Anil K. Kashyap, Arvind Krishnamurthy and Andrew W. Lo
Princeton University - Department of Economics, University of Chicago - Department of Economics, University of Chicago, Booth School of Business, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,001 (27,603)
Citation 2

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48.

An Empirical Evaluation of Tax-Loss Harvesting Alpha

Number of pages: 25 Posted: 03 Apr 2019 Last Revised: 10 Feb 2020
Shomesh Chaudhuri, Terence Burnham and Andrew W. Lo
Massachusetts Institute of Technology, Chapman University - The George L. Argyros School of Business & Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 950 (29,720)
Citation 1

Abstract:

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Tax-Loss Harvesting; Tax Optimization; Tax Alpha; Tax-Aware Investing

49.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 949 (29,774)
Citation 6

Abstract:

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systematic risk, factor models, investment horizon, cross-sectional pricing

50.

Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs

Number of pages: 52 Posted: 27 Nov 2015
Andrew W. Lo and Alexander Remorov
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 942 (30,060)

Abstract:

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Stop-Loss Strategy, Portfolio Insurance, Risk Management, Investments, Portfolio Management, Asset Allocation, Performance Attribution, Behavioral Finance

51.

Hedge Fund Holdings and Stock Market Efficiency

Downloads 913 ( 31,491)
Citation 12

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 503 (68,298)
Citation 3

Abstract:

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Hedge funds, institutional investors, market efficiency

Hedge Fund Holdings and Stock Market Efficiency

Review of Asset Pricing Studies (RAPS), Forthcoming
Number of pages: 65 Posted: 14 Jun 2016 Last Revised: 20 Apr 2017
Charles Cao, Bing Liang, Andrew W. Lo and Lubomir Petrasek
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 410 (87,398)
Citation 10

Abstract:

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hedge funds, institutional investors, equity holdings, market efficiency, liquidity crises

52.

World of EdCraft: Challenges and Opportunities in Synchronous Online Teaching

Number of pages: 67 Posted: 26 Feb 2021
Andrew W. Lo, Brian Stevens and Sean P. Willems
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Haslam College of Business, University of Tennessee, Knoxville and Haslam College of Business, University of Tennessee, Knoxville
Downloads 900 (32,103)

Abstract:

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online teaching, distance learning, live streaming, MOOC, gamefication

53.

Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective

Annual Review of Financial Economics, Forthcoming
Number of pages: 95 Posted: 17 Jan 2017 Last Revised: 04 Jun 2020
Winston Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, MIT and University of Chicago - Department of Economics
Downloads 830 (35,866)
Citation 2

Abstract:

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Macrofinancial Models; Dynamic Stochastic General Equilibrium Models; Macroprudential Policy; Systemic Risk; Monetary Policy Analysis

54.

The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds

MIT Sloan Research Paper No. 6163-20
Number of pages: 51 Posted: 07 Aug 2020 Last Revised: 28 Feb 2021
Andrew W. Lo, Egor Matveyev and Stefan Zeume
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Illinois at Urbana-Champaign
Downloads 819 (38,286)
Citation 2

Abstract:

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Endowment Funds, Long-term Asset Management, Governance of Nonprofit Organizations

55.

Moore's Law vs. Murphy's Law in the Financial System: Who's Winning?

Downloads 767 ( 40,012)
Citation 4

Moore's Law vs. Murphy's Law in the Financial System: Who's Winning?

Number of pages: 34 Posted: 25 Jan 2016
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 472 (73,912)
Citation 4

Abstract:

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Financial Technology, Systemic Risk, Macroprudential Policy, Risk Management

Moore's Law vs. Murphy's Law in the Financial System: Who's Winning?

BIS Working Paper No. 564
Number of pages: 44 Posted: 07 Jun 2016
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 295 (126,383)

Abstract:

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Financial technology, systemic risk, macroprudential policy, risk management

56.

Is it Real, or is it Randomized?: A Financial Turing Test

Number of pages: 12 Posted: 26 Feb 2010 Last Revised: 25 Jan 2015
Jasmina Hasanhodzic, Andrew W. Lo and Emanuele Viola
Babson College - Finance Division, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Northeastern University
Downloads 766 (40,083)
Citation 3

Abstract:

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Market Efficiency, Human Pattern Recognition, Machine/Human Interfaces, Technical Analysis, Video Games

57.

Black's Leverage Effect is not Due to Leverage

Number of pages: 25 Posted: 16 Feb 2011
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 761 (40,431)
Citation 39

Abstract:

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Volatility, Leverage Effect, Return/Volatility Relationship, Time-Varying Expected Return, Behavioral Finance

58.

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

NBER Working Paper No. w2168
Number of pages: 47 Posted: 25 Jul 2007 Last Revised: 06 Jun 2021
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 750 (41,234)
Citation 66

Abstract:

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59.

Funding Long Shots

Rotman School of Management Working Paper No. 3058472
Number of pages: 51 Posted: 25 Oct 2017 Last Revised: 09 Apr 2019
John C. Hull, Andrew W. Lo and Roger Stein
University of Toronto - Rotman School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 689 (46,226)
Citation 7

Abstract:

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Capital Budgeting; Impact Investing; Venture Capital; Private Equity; Megafund; Securitization; Portfolio Theory; Research-Backed Obligation

60.

Spectral Portfolio Theory

Number of pages: 44 Posted: 03 Jun 2016
Shomesh Chaudhuri and Andrew W. Lo
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 670 (48,016)
Citation 20

Abstract:

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Portfolio Theory, Portfolio Optimization, Spectral Analysis, Cycles, Active/Passive Decomposition

61.

Measuring Risk Preferences and Asset-Allocation Decisions: A Global Survey Analysis

Number of pages: 58 Posted: 06 Nov 2019
Andrew W. Lo, Alexander Remorov and Zied Ben Chaouch
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 583 (57,442)

Abstract:

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Asset Allocation, Risk Aversion, Behavioral Finance, Retail Investors, Institutional Investors, Financial Advisors

62.

The National Transportation Safety Board: A Model for Systemic Risk Management

Downloads 573 ( 58,623)
Citation 8

The National Transportation Safety Board: A Model for Systemic Risk Management

Number of pages: 48 Posted: 24 Oct 2010 Last Revised: 16 Nov 2010
Eric Fielding, Andrew W. Lo and Jian Helen Yang
National Transportation Safety Board, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT Sloan School of Management
Downloads 573 (57,973)
Citation 8

Abstract:

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Systemic Risk, Risk Management, Financial Regulation, Office of Financial Research, NTSB

The National Transportation Safety Board: A Model for Systemic Risk Management

Journal of Investment Management (JOIM), First Quarter 2011
Posted: 09 Apr 2011
Eric Fielding, Andrew W. Lo and Jian Helen Yang
National Transportation Safety Board, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and MIT Sloan School of Management

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risk management, systemic risk, forensic finance, NTSB

63.

The Growth of Relative Wealth and the Kelly Criterion

Number of pages: 24 Posted: 06 Feb 2019
Andrew W. Lo, Allen Orr and Ruixun Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Rochester - Department of Biology and MIT Laboratory for Financial Engineering
Downloads 568 (59,276)
Citation 5

Abstract:

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Kelly Criterion, Portfolio Optimization, Adaptive Markets Hypothesis, Evolutionary Game Theory

64.

Competition and R&D Financing: Evidence from the Biopharmaceutical Industry

Downloads 501 ( 69,383)
Citation 4

Competition and R&D Financing: Evidence from the Biopharmaceutical Industry

MIT Sloan Research Paper No. 5140-15
Number of pages: 49 Posted: 25 Jan 2015 Last Revised: 12 Feb 2018
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 472 (73,912)
Citation 1

Abstract:

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Healthcare Finance; Pharmaceutical Industry; Biotechnology Industry; Capital Structure; R&D Investments; Competition; Innovation

Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry

NBER Working Paper No. w20903
Number of pages: 69 Posted: 02 Feb 2015 Last Revised: 12 Feb 2021
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 29 (584,010)

Abstract:

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65.

When are Contrarian Profits Due to Stock Market Overreaction?

NBER Working Paper No. w2977
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 20 Feb 2021
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 491 (71,098)
Citation 42

Abstract:

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66.

Macro-Finance Models with Nonlinear Dynamics

University of Chicago, Becker Friedman Institute for Economics Working Paper, The Rodney L. White Center Working Papers Series at the Wharton School
Number of pages: 69 Posted: 23 Sep 2019 Last Revised: 20 Jul 2020
Winston Dou, Xiang Fang, Andrew W. Lo and Harald Uhlig
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 464 (76,238)

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Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

67.

Estimating Clinical Trial Success Rates and Related Parameters in Oncology

Number of pages: 20 Posted: 14 Apr 2019 Last Revised: 09 May 2019
Chi Heem Wong, Kien Wei Siah and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 413 (87,389)
Citation 23

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Probabilities of Success; Clinical Trials; Biostatistics; Oncology; Healthcare Finance

68.

Sharing R&D Risk in Healthcare via FDA Hedges

Downloads 406 ( 89,170)
Citation 1

Sharing R&D Risk in Healthcare via FDA Hedges

MIT Sloan Research Paper No. 5194-17
Number of pages: 51 Posted: 03 Apr 2017 Last Revised: 13 Apr 2017
Adam Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 396 (90,982)

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Healthcare Finance, R&D Investments, Drug Development, FDA Approval, Idiosyncratic Risk, Risk sharing, Hedging

Sharing R&D Risk in Healthcare Via Fda Hedges

NBER Working Paper No. w23344
Number of pages: 51 Posted: 01 May 2017 Last Revised: 15 Apr 2021
Adam Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
Downloads 10 (728,596)

Abstract:

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69.

What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!

Number of pages: 9 Posted: 11 Jan 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 397 (91,493)

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physics envy, theory envy, financial crisis

70.

Financing Correlated Drug Development Projects

Downloads 355 (104,019)

Financing Correlated Drug Development Projects

Number of pages: 34 Posted: 21 Nov 2020
Andrew W. Lo and Kien Wei Siah
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 298 (125,136)

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Securitization, Capital Structure, Biotech, Drug Development, Healthcare Finance

Financing Correlated Drug Development Projects

Number of pages: 24 Posted: 07 Nov 2020
Andrew W. Lo and Kien Wei Siah
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 57 (448,414)

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Securitization; Biotechnology; Research Backed Obligation; Biomedical Mega-Fund; Portfolio Theory; Monte Carlo Simulation

71.

Securities Trading of Concepts (STOC)

Number of pages: 58 Posted: 23 Jul 2008 Last Revised: 20 Sep 2010
Ely Dahan, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio and Nicholas T. Chan
University of California, Los Angeles (UCLA) - Department of Urology, Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences and AlphaSimplex Group, LLC
Downloads 345 (107,332)
Citation 12

Abstract:

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prediction markets, experimental markets, new product development, consumer preferences

72.

Venture Philanthropy: A Case Study of the Cystic Fibrosis Foundation

Number of pages: 23 Posted: 23 May 2019
Esther Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 307 (121,865)
Citation 1

Abstract:

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Venture Philanthropy; Venture Capital; Impact Investing; Cystic Fibrosis

73.

SBE 2020: A Complete Theory of Human Behavior

Number of pages: 7 Posted: 03 Oct 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 303 (123,602)

Abstract:

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Efficient Markets, Rational Expectations, Behavioral Finance, Consilience

74.

Risk and Risk Management in the Credit Card Industry

Downloads 298 (125,824)
Citation 20

Risk and Risk Management in the Credit Card Industry

Number of pages: 62 Posted: 16 Jun 2015 Last Revised: 14 Jun 2016
Florentin Butaru, Qingqing Chen, Brian J. Clark, Sanmay Das, Andrew W. Lo and Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Risk Analysis Division
Downloads 265 (141,524)
Citation 2

Abstract:

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credit risk, consumer finance, credit cards, risk management, machine learning, big data

Risk and Risk Management in the Credit Card Industry

NBER Working Paper No. w21305
Number of pages: 66 Posted: 29 Jun 2015 Last Revised: 20 Mar 2021
Florentin Butaru, Qingqing Chen, Brian J. Clark, Sanmay Das, Andrew W. Lo and Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Risk Analysis Division
Downloads 33 (559,918)
Citation 15

Abstract:

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75.

The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation

NBER Working Paper No. t0066
Number of pages: 41 Posted: 16 Jul 2004 Last Revised: 08 Mar 2021
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 267 (141,099)

Abstract:

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76.

A Portfolio Approach to Accelerate Therapeutic Innovation in Ovarian Cancer

Number of pages: 17 Posted: 11 Dec 2018
Shomesh Chaudhuri, Katherine Cheng, Andrew W. Lo, Shirley Pepke, Sergio Rinaudo, Lynda` Roman and Ryan Spencer
Massachusetts Institute of Technology, Harvard University - Business School (HBS), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Lyrid LLC, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Southern California - Division of Gynecologic Oncology and University of Wisconsin - Madison - School of Medicine and Public Health
Downloads 260 (144,906)

Abstract:

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biotech; venture capital; healthcare finance; investments

77.

Maximizing Predictability in the Stock and Bond Markets

NBER Working Paper No. w5027
Number of pages: 60 Posted: 25 Jul 2000 Last Revised: 30 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 236 (159,265)

Abstract:

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78.

Optimal Financing for R&D-Intensive Firms

Downloads 233 (161,287)
Citation 1

Optimal Financing for R&D-Intensive Firms

MIT Sloan Research Paper No. 5240-17
Number of pages: 41 Posted: 11 Sep 2017 Last Revised: 20 Aug 2018
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 212 (176,154)

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R&D Investments, Innovation, Capital Structure, Cash Holdings, Mechanism Design

Optimal Financing for R&D-Intensive Firms

NBER Working Paper No. w23831
Number of pages: 62 Posted: 18 Sep 2017 Last Revised: 12 Feb 2021
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 21 (640,456)

Abstract:

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79.

Long-Term Memory in Stock Market Prices

NBER Working Paper No. w2984
Number of pages: 47 Posted: 17 Oct 2007 Last Revised: 27 Feb 2021
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 223 (168,177)
Citation 3

Abstract:

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80.

Risk and Reward in the Orphan Drug Industry

MIT Sloan Research Paper No. 5582-18
Number of pages: 26 Posted: 16 Oct 2018
Andrew W. Lo and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
Downloads 221 (169,658)
Citation 1

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Risk, Return, Index, Biopharmaceutical Industry, Orphan Drugs, Drug Development

81.

Business Models to Cure Rare Disease: A Case Study of Solid Biosciences

Number of pages: 19 Posted: 06 Nov 2016
Esther Kim and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 220 (170,348)

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biotech investments, venture capital, portfolio management

82.

Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?: An Analytical Framework

Texas Law Review, Vol. 90, No. 7, 2012
Number of pages: 36 Posted: 30 May 2012 Last Revised: 05 Sep 2012
Andrew W. Lo and Thomas J. Brennan
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Harvard Law School
Downloads 218 (171,882)
Citation 1

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Leverage, Liquidity, Financial Regulation, Capital Requirements, Macroprudential Policies, Net Capital Rules

83.

Econometric Models of Limit-Order Executions

NBER Working Paper No. w6257
Number of pages: 66 Posted: 24 Jul 2000 Last Revised: 06 Feb 2021
Andrew W. Lo, A. Craig Mackinlay and June Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Pennsylvania - The Wharton School, Finance Department and affiliation not provided to SSRN
Downloads 213 (175,649)

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84.

Global Realignment in Financial Market Dynamics: Evidence from ETF Networks

SAFE Working Paper No. 304
Number of pages: 37 Posted: 04 Feb 2021 Last Revised: 23 Mar 2021
Monica Billio, Andrew W. Lo, Loriana Pelizzon, Mila Getmansky Sherman and Abalfazl Zareei
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Stockholm University
Downloads 203 (183,701)
Citation 1

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Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance

85.

Pricing for Survival in the Biopharma Industry: A Case Study of Acthar Gel and Questcor Pharmaceuticals

Number of pages: 35 Posted: 22 Sep 2017
Terence Burnham, Samuel Huang and Andrew W. Lo
Chapman University - The George L. Argyros School of Business & Economics, Massachusetts Institute of Technology (MIT) - Lab for Financial Engineering, Students and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 203 (183,701)

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Biotech; Pharmaceuticals; Drug Pricing; Acthar; Questcor; Rare Diseases

86.

Funding Translational Medicine via Public Markets: The Business Development Company

Number of pages: 37 Posted: 25 Aug 2015
Sandra Forman, Andrew W. Lo, Monica J. Shilling and Grace Sweeney
Proskauer Rose LLP, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Proskauer Rose LLP and Magyar & Bogle
Downloads 199 (187,179)

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Business Development Company, Megafund, Biotech, Pharmaceutical, Translational Medicine, Drug Royalty Investment Company, Intellectual Property, Royalties, Corporate Finance

87.

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Downloads 188 (196,963)

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

NBER Working Paper No. w7625
Number of pages: 56 Posted: 21 May 2000 Last Revised: 03 May 2021
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 188 (196,896)
Citation 4

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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Review of Financial Studies, Vol. 13, Iss. 2
Posted: 08 Dec 1999
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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88.

Estimating Policy Trajectories During the Financial Crisis

NLP Unshared Task in PoliInformatics 2014
Number of pages: 5 Posted: 09 Jun 2014
William Li, David Larochelle and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), Harvard University - Berkman Klein Center for Internet & Society and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 178 (206,617)

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financial crisis, public policy, natural language processing, analytics, machine learning, data mining

89.

Privacy-Preserving Methods for Sharing Financial Risk Exposures

Number of pages: 28 Posted: 20 Nov 2011 Last Revised: 25 Nov 2011
Emmanuel A. Abbe, Amir Khandani and Andrew W. Lo
Ecole Polytechnique Fédérale de Lausanne, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 172 (212,789)
Citation 4

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Systemic Risk, Risk Management, Financial Crisis, Cryptography, Security Multi-Party Computation

90.

An Econometric Analysis of Nonsynchronous Trading

NBER Working Paper No. w2960
Number of pages: 39 Posted: 28 Dec 2006 Last Revised: 09 Aug 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 167 (218,209)
Citation 4

Abstract:

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91.

Data-Snooping Biases in Tests of Financial Asset Pricing Models

NBER Working Paper No. w3001
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 15 Mar 2021
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 160 (226,215)
Citation 48

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92.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 01 May 2021
Monica Billio, Mila Getmansky Sherman, Andrew W. Lo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Goethe University Frankfurt - Faculty of Economics and Business Administration
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93.

Financing Vaccines for Global Health Security

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Financing Vaccines for Global Health Security

Number of pages: 38 Posted: 11 May 2020
Jonathan Vu, Benjamin Kaplan, Shomesh Chaudhuri, Monique K Mansoura and Andrew W. Lo
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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vaccines fund, emerging infectious diseases, healthcare finance

Financing Vaccines for Global Health Security

NBER Working Paper No. w27212
Number of pages: 39 Posted: 26 May 2020 Last Revised: 27 Jun 2021
Jonathan Vu, Benjamin Kaplan, Shomesh Chaudhuri, Monique K Mansoura and Andrew W. Lo
Warren Alpert Medical School, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology, The MITRE Corporation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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94.

Implementing Option Pricing Models When Asset Returns are Predictable

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Implementing Option Pricing Models When Asset Returns are Predictable

NBER Working Paper No. w4720
Number of pages: 55 Posted: 01 Sep 2000
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 157 (230,335)
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Implementing Option Pricing Models When Asset Returns are Predictable

JOURNAL OF FINANCE, Vol 50, No 1, March 1995
Posted: 20 Dec 1998
Andrew W. Lo and Jiang Wang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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95.

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

NBER Working Paper No. w5351
Number of pages: 51 Posted: 20 Jul 2000 Last Revised: 24 Sep 2010
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 147 (243,414)
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Posted: 02 Aug 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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96.

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

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Citation 35

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

NBER Working Paper No. t0059
Number of pages: 32 Posted: 27 Jun 2007 Last Revised: 01 Sep 2010
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 84 (362,133)
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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

NBER Working Paper No. t0059
Number of pages: 32 Posted: 03 Jul 2007 Last Revised: 01 Mar 2021
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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97.

Competition and R&D Financing: Evidence from the Biopharmaceutical Industry

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 85 Posted: 29 Jan 2021 Last Revised: 05 May 2021
Richard T. Thakor and Andrew W. Lo
University of Minnesota - Carlson School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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Healthcare Finance, Pharmaceutical Industry, Biotechnology Industry, Capital Structure, R&D Investments, Cash Holdings, Competition, Innovation

98.

An Ordered Probit Analysis of Transaction Stock Prices

NBER Working Paper No. w3888
Number of pages: 74 Posted: 27 Dec 2006 Last Revised: 15 Feb 2021
Jerry A. Hausman, Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
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99.

Nonparametric Risk Management and Implied Risk Aversion

NBER Working Paper No. w6130
Number of pages: 50 Posted: 20 Jul 2000 Last Revised: 03 Apr 2021
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 127 (271,990)
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100.

Bridging the Valley of Death through Financial Innovation: Written Testimony of Andrew W. Lo Prepared for the U.S. House of Representatives Financial Services Committee

Number of pages: 15 Posted: 21 Sep 2019
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 112 (297,716)
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Financial Regulation; Private Markets; Rare Disease Fund Act of 2019; Securitization; Biomedical Innovation

101.

Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model

NBER Working Paper No. w6250
Number of pages: 64 Posted: 16 Jul 2000 Last Revised: 30 Jan 2021
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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102.

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

NBER Working Paper No. w4718
Number of pages: 51 Posted: 16 Aug 2000 Last Revised: 24 May 2021
James M. Hutchinson, Andrew W. Lo and Tomaso Poggio
Paralation Capital LLC, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences
Downloads 101 (319,553)
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103.

The Sources and Nature of Long-Term Memory in the Business Cycle

NBER Working Paper No. w2951
Number of pages: 42 Posted: 08 Aug 2007 Last Revised: 27 Jul 2010
Joseph G. Haubrich and Andrew W. Lo
Federal Reserve Bank of Cleveland and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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104.

Sharing R&D Risk in Healthcare via FDA Hedges

Becker Friedman Institute for Research in Economics Working Paper No. 2017-01
Number of pages: 51 Posted: 07 Apr 2017 Last Revised: 10 Mar 2021
Adam Jørring, Andrew W. Lo, Tomas Philipson, Manita Singh and Richard T. Thakor
Boston College - Carroll School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Chicago, Goldman Sachs and University of Minnesota - Carlson School of Management
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Healthcare Finance, R&D Investments, Drug Development, FDA Approval, Idiosyncratic Risk, Risk sharing, Hedging

105.

Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs

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Citation 1

Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs

NBER Working Paper No. w27176
Number of pages: 27 Posted: 18 May 2020 Last Revised: 27 Jun 2021
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
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Citation 1

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Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs

Number of pages: 27 Posted: 04 Jun 2020
Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
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Vaccines, Antibiotics, Infections Diseases, Clinical Trials, Probabilities of Success

106.

Paying off the Competition: Market Power and Innovation Incentives

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Paying off the Competition: Market Power and Innovation Incentives

Number of pages: 59 Posted: 30 Jun 2021
Xuelin Li, Andrew W. Lo and Richard T. Thakor
University of South Carolina - Darla Moore School of Business, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
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Drug Development, Pharmaceutical Industry, Monopoly, Antitrust, Market Power, Competition, Innovation

Paying Off the Competition: Market Power and Innovation Incentives

NBER Working Paper No. w28964
Number of pages: 60 Posted: 28 Jun 2021 Last Revised: 20 Jul 2021
Xuelin Li, Andrew W. Lo and Richard T. Thakor
University of South Carolina - Darla Moore School of Business, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Minnesota - Carlson School of Management
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107.

Predicting Drug Approvals: The Novartis Data Science and Artificial Intelligence Challenge

Number of pages: 21 Posted: 02 Mar 2021
Kien Wei Siah, Nicholas Kelley, Steffen Ballerstedt, Björn Holzhauer, Tianmeng Lyu, David Mettler, Sophie Sun, Simon Wandel, Yang Zhong, Bin Zhou, Shifeng Pan, Yingyao Zhou and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Novartis, Novartis, Novartis, Novartis, Novartis, Novartis, Novartis, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation, Genomics Institute of the Novartis Research Foundation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 25 (593,542)
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108.

A Cost/Benefit Analysis of Clinical Trial Designs for Covid-19 Vaccine Candidates

NBER Working Paper No. w27882
Number of pages: 54 Posted: 07 Oct 2020 Last Revised: 27 Jun 2021
Donald Berry, Scott Berry, Peter Hale, Leah Isakov, Andrew W. Lo, Kien Wei Siah and Chi Heem Wong
affiliation not provided to SSRN, Berry Consultants, LLC, affiliation not provided to SSRN, Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
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109.

Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics During Epidemic Outbreaks

NBER Working Paper No. w27175
Number of pages: 35 Posted: 18 May 2020 Last Revised: 27 Jun 2021
Shomesh Chaudhuri, Andrew W. Lo, Danying Xiao and Qingyang Xu
Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Operations Research Center
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110.

The Derivatives Sourcebook

Foundations and Trends in Finance, Vol. 1, No. 5-6, 2005
Number of pages: 210 Posted: 15 Jun 2010
Terence Lim, Andrew W. Lo, Robert C. Merton and Myron S. Scholes
Goldman Sachs Group, Inc. - Asset Management Group, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business
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111.

Measuring the Economic and Academic Impact of Philanthropic Funding: The Breast Cancer Research Foundation

Number of pages: 26 Posted: 12 Jun 2019
Detelina Vasileva, Larrw Norton, Marc Hurlbert and Andrew W. Lo
affiliation not provided to SSRN, Memorial Sloan Kettering Cancer Center, Breast Cancer Research Foundation and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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Impact Investing; Non-Profit Organization; Patents; Intellectual Property; Venture Philanthropy

112.

Estimating the Financial Impact of Gene Therapy in the U.S

NBER Working Paper No. w28628
Number of pages: 87 Posted: 12 Apr 2021 Last Revised: 17 Apr 2021
Chi Heem Wong, Dexin Li, Nina Wang, Jonathan Gruber, Rena Conti and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL), MIT Laboratory for Financial Engineering, MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
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113.

Robert C. Merton: The First Financial Engineer

Annual Review of Financial Economics, Vol. 12, pp. 1-18, 2020
Posted: 10 Dec 2020
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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114.

Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective

Annual Review of Financial Economics, Vol. 12, pp. 95-140, 2020
Posted: 10 Dec 2020
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) and University of Chicago - Department of Economics

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115.

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

https://doi.org/10.3905/jpm.2016.42.5.123
Posted: 20 May 2019
Pablo Azar and Andrew W. Lo
Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Social Media, Sentiment, FOMC Meetings, News, Twitter, Event Studies

116.

Momentum, Mean-Reversion and Social Media: Evidence from StockTwits and Twitter

https://doi.org/10.3905/jpm.2018.44.7.085
Posted: 01 Jul 2018 Last Revised: 22 May 2019
Shreyash Agrawal, Pablo Azar, Andrew W. Lo and Taranjit Singh
Massachusetts Institute of Technology (MIT), Students, Massachusetts Institute of Technology, Sloan School of Management, Students, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT), Students
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Sentiment, Market Liquidity, Social Media, Twitter, StockTwits, Mean Reversion, Momentum

117.

Just How Good an Investment is the Biopharmaceutical Sector?

Nature Biotechnology 35 (12), 1149-1157 (2017)
Posted: 22 May 2018
Richard T. Thakor, Nicholas Anaya, Yuwei Zhang, Christian Vilanilam, Kien Wei Siah, Chi Heem Wong and Andrew W. Lo
University of Minnesota - Carlson School of Management, Independent, Independent, Independent, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Biotechnology, Pharmaceuticals, Drug Development, Health Care Economics, Business Strategy in Drug Development, Risk

118.

TRC Networks and Systemic Risk

MIT Sloan Research Paper No. 5153-15, https://doi.org/10.3905/jai.2016.18.4.052
Posted: 22 Dec 2015 Last Revised: 22 May 2019
Andrew W. Lo and Roger Stein
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 0 (793,642)

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Systemic Risk; Network Analysis; Credit Risk

119.

Can Financial Engineering Cure Cancer?: A New Approach to Funding Large-Scale Biomedical Innovation

Posted: 20 Dec 2015
David Fagnan, Jose Maria Fernandez, Andrew W. Lo and Roger Stein
Massachusetts Institute of Technology (MIT), MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT

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Financial Innovation, Securitization, Financial Engineering, Healthcare

120.

Hedge Fund Beta Replication: A Five-Year Retrospective

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Peter Lee and Andrew W. Lo
Independent and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Hedge funds, liquid alternatives, beta replication, exotic beta, smart beta

121.

Introduction to Volume 5 of the Annual Review of Financial Economics

Annual Review of Financial Economics, Vol. 5, pp. 1-7, 2013
Posted: 08 Nov 2013
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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122.

Liquidity Costs, Return Smoothing, and Investor Flows: Evidence from a Separate Account Platform

Asian Finance Association (AsFA) 2013 Conference
Posted: 24 May 2013
Charles Cao, Grant V Farnsworth, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas Christian University, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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123.

Perspectives: Adaptive Markets and the New World Order

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 28 Mar 2012
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Behavioral Finance, Portfolio Management, Asset Allocation, Portfolio Concepts from Capital Market Theory, Efficient Market Hypothesis, Risk Management, Portfolio Risk Management

124.

Preface to the Annual Review of Financial Economics

Annual Review of Financial Economics, Vol. 1, pp. 01-17, 2009
Posted: 03 Jun 2010
Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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125.

130/30: The New Long-Only

Posted: 17 Dec 2007
Andrew W. Lo and Pankaj N. Patel
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Cirrus Research, LLC

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Long/Short Equity, Hedge Funds, Active Extension, Indexes

126.

It's 11pm - Do You Know Where Your Liquidity is? The Mean-Variance Liquidity Frontier

Journal Of Investment Management, Vol. 1, No. 1, First Quarter 2003
Posted: 27 Aug 2006
Andrew W. Lo, Constantin Petrov and Martin Wierzbicki
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, affiliation not provided to SSRN and affiliation not provided to SSRN

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Liquidity, Portfolio Optimization, Transaction, Costs, Visualization

127.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Failures

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
Mila Getmansky Sherman, Andrew W. Lo and Shauna X. Mei
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Hedge funds, risk management, liquidity

128.

The Statistics of Sharpe Ratios

Posted: 14 Feb 2003
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Performance Measurement and Evaluation, Performance Measurement

129.

Optimal Control of Execution Costs

LFE-1025-96
Posted: 30 Jun 1998
Dimitris Bertsimas and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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Other Papers (1)

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1.

When Do Stop-Loss Rules Stop Losses?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 05 Mar 2007
Kathryn Kaminski and Andrew W. Lo
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 4,209

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Investments, Portfolio Management, Risk Management, Performance Attribution, Behavioral Finance