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Browsing MIT Open Access Articles by Author "Lo, Andrew W."

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Browsing MIT Open Access Articles by Author "Lo, Andrew W."

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  • Lo, Andrew W. (CFA Institute, 2012-05)
    In the adaptive markets hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient but are usually competitive and adaptive, ...
  • Fernandez, Jose-Maria; Fagnan, David Erik; Lo, Andrew W.; Stein, Roger Mark (American Economic Association, 2013-05)
    Traditional financing sources such as private and public equity may not be ideal for investment projects with low probabilities of success, long time horizons, and large capital requirements. Nevertheless, such projects, ...
  • Cao, Charles; Chen, Yong; Liang, Bing; Lo, Andrew W. (Elsevier, 2013-04)
    We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large ...
  • Fernandez, Jose-Maria; Stein, Roger Mark; Lo, Andrew W. (Nature Publishing Group, 2012-09)
    Biomedical innovation has become riskier, more expensive and more difficult to finance with traditional sources such as private and public equity. Here we propose a financial structure in which a large number of biomedical ...
  • Lo, Andrew W. (Elsevier, 2011-07)
    Although the precise origins of the term “complex adaptive system” are unclear, nevertheless, the hackneyed phrase is now firmly ensconced in the lexicon of biologists, physicists, mathematicians, and, most recently, ...
  • Hasanhodzic, Jasmina; Lo, Andrew W.; Viola, Emanuele (Taylor & Francis, 2011-06)
    We study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be efficient with respect to resources S (e.g., time, memory) if no strategy using resources S ...
  • Khandani, Amir Ehsan; Kim, Adlar J.; Lo, Andrew W. (Elsevier B.V., 2010-06)
    We apply machine-learning techniques to construct nonlinear nonparametric forecasting models of consumer credit risk. By combining customer transactions and credit bureau data from January 2005 to April 2009 for a sample ...
  • Frank, Aaron Benjamin; Collins, Margaret Goud; Levin, Simon A.; Lo, Andrew W.; Ramo, Joshua; Dieckmann, Ulf; Kremenyuk, Victor; Kryazhimskiy, Arkady; Linnerooth-Bayer, JoAnne; Ramalingam, Ben; Roy, J. Stapleton; Saari, Donald G.; Thurner, Stefan; von Winterfeldt, Detlof (National Academy of Sciences (U.S.), 2014-12)
    The contemporary global community is increasingly interdependent and confronted with systemic risks posed by the actions and interactions of actors existing beneath the level of formal institutions, often operating outside ...
  • Lo, Andrew W.; Brennan, Thomas J. (University of Texas School of Law, 2012-01)
    A common theme in the regulation of financial institutions and transactions is leverage constraints. Although such constraints are implemented in various ways—from minimum net capital rules to margin requirements to credit ...
  • Bisias, Dimitrios; Lo, Andrew W.; Watkins, James F. (Public Library of Science, 2012-05)
    Background: The National Institutes of Health (NIH) is among the world’s largest investors in biomedical research, with a mandate to: “…lengthen life, and reduce the burdens of illness and disability.” Its funding ...
  • Brennan, Thomas J.; Lo, Andrew W. (Public Library of Science, 2012-11)
    Background: Most economic theories are based on the premise that individuals maximize their own self-interest and correctly incorporate the structure of their environment into all decisions, thanks to human intelligence. ...
  • Fagnan, David Erik; Gromatzky, Austin A.; Stein, Roger Mark; Fernandez, Jose-Maria; Lo, Andrew W. (Elsevier B.V., 2014-05)
    Recently proposed ‘megafund’ financing methods for funding translational medicine and drug development require billions of dollars in capital per megafund to de-risk the drug discovery process enough to issue long-term ...
  • Fagnan, David E.; Yang, N. Nora; McKew, John C.; Lo, Andrew W. (American Association for the Advancement of Science (AAAS), 2015-02)
    The portfolio of the National Center for Advancing Translational Sciences (NCATS) rare-diseases therapeutic development program comprises 28 research projects initiated at the preclinical stage. Historical data reveal ...
  • Zhang, Ruixun; Brennan, Thomas J.; Lo, Andrew W. (Public Library of Science, 2014-10)
    Despite many compelling applications in economics, sociobiology, and evolutionary psychology, group selection is still one of the most hotly contested ideas in evolutionary biology. Here we propose a simple evolutionary ...
  • Lo, Andrew W.; Khandani, Amir Ehsan (World Scientific, 2011-06)
    We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the ...
  • Brennan, Thomas J.; Lo, Andrew W. (Institute for Operations Research and the Management Sciences, 2010-06)
    A key result of the capital asset pricing model (CAPM) is that the market portfolio—the portfolio of all assets in which each asset's weight is proportional to its total market capitalization—lies on the mean-variance-efficient ...
  • Li, William P.; Azar, Pablo Daniel; Larochelle, David; Hill, Phil; Lo, Andrew W. (University of Maryland School of Law, 2015)
    The agglomeration of rules and regulations over time has produced a body of legal code that no single individual can fully comprehend. This complexity produces inefficiencies, makes the processes of understanding and ...
  • Kirilenko, Andrei; Lo, Andrew W. (American Economic Association, 2013-02)
    Financial markets have undergone a remarkable transformation over the past two decades due to advances in technology. These advances include faster and cheaper computers, greater connectivity among market participants, and ...
  • Merton, Robert C.; Billio, Monica; Getmansky, Mila; Gray, Dale; Lo, Andrew W.; Pelizzon, Loriana (CFA Institute, 2013-03)
    At the fifth annual CFA Institute European Investment Conference on 19 October 2012 in Prague, Robert C. Merton gave a presentation on analyzing and managing macrofinancial risk. This article is based on his talk and on ...
  • Brennan, Thomas J.; Lo, Andrew W. (World Scientific, 2011-03)
    We propose a single evolutionary explanation for the origin of several behaviors that have been observed in organisms ranging from ants to human subjects, including risk-sensitive foraging, risk aversion, loss aversion, ...
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