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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 ...
  • 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 ...
  • 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. ...
  • 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 ...
  • 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 ...
  • 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, ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • Bisias, Dimitrios; Flood, Mark; Lo, Andrew W.; Valavanis, Stavros (Annual Reviews, 2012-10)
    We provide a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. We motivate these measures from ...
  • 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 ...
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