Advanced Search
DSpace@MIT

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

Research and Teaching Output of the MIT Community

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

Sort by: Order: Results:

  • Adaptive Markets and the New World Order 
    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, ...
  • Commercializing Biomedical Research Through Securitization Techniques 
    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 ...
  • A computational view of market efficiency 
    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 ...
  • Consumer Credit-Risk Models Via Machine-Learning Algorithms 
    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 ...
  • Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses? An Analytical Framework 
    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 ...
  • Estimating the NIH Efficient Frontier 
    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 ...
  • An Evolutionary Model of Bounded Rationality and Intelligence 
    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. ...
  • Impossible Frontiers 
    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 ...
  • The Origin of Behavior 
    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, ...
  • Preface to the Annual Review of Financial Economics 
    Lo, Andrew W.; Merton, Robert C. (Annual Reviews, 2009-12)
    It is surely a coming of age for financial economics that the field is now covered by Annual Reviews, a not-for-profit organization that has been providing the scientific community with authoritative critical reviews ...
  • Privacy-Preserving Methods for Sharing Financial Risk Exposures 
    Abbe, Emmanuel A.; Khandani, Amir Ehsan; Lo, Andrew W. (American Economic Association, 2012-05)
    The financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical financial risk exposures from regulators and the public. Using results from cryptography, we develop ...
  • Reading About the Financial Crisis: A Twenty-One-Book Review 
    Lo, Andrew W. (American Economic Association, 2012-03)
    The recent financial crisis has generated many distinct perspectives from various quarters. In this article, I review a diverse set of twenty-one books on the crisis, eleven written by academics, and ten written by journalists ...
  • Regulatory Reform in the Wake of the Financial Crisis of 2007—2008 
    Lo, Andrew W. (Emerald Group Pub., 2009-03)
    Purpose – The purpose of this paper is to analyse regulatory reform in the wake of the financial crisis of 2007-2008. Design/methodology/approach – The paper proposes a framework for regulatory reform that begins with ...
  • Securities trading of concepts (STOC) 
    Dahan, Ely; Kim, Adlar J.; Lo, Andrew W.; Poggio, Tomaso A.; Chan, Nicholas (American Marketing Association, 2012-01)
    Identifying winning new product concepts can be a challenging process that requires insight into private consumer preferences. To measure consumer preferences for new product concepts, the authors apply a “securities trading ...
  • WARNING: Physics Envy May Be Hazardous To Your Wealth 
    Lo, Andrew W.; Mueller, Mark (Stallion Press for the Journal of Investment Management, 2010-04)
    The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems—and financial markets in particular—that are ...
Open Access