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Dynamic alpha : a spectral decomposition of investment performance across time horizons
Chaudhuri, Shomesh E.; Lo, Andrew W. - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4440-4450
Persistent link: https://www.econbiz.de/10012118591
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Impossible frontiers
Brennan, Thomas J.; Lo, Andrew W. - 2008
Persistent link: https://www.econbiz.de/10003791372
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Impossible frontiers
Brennan, Thomas J.; Lo, Andrew W. - In: Management science : journal of the Institute for … 56 (2010) 6, pp. 905-923
Persistent link: https://www.econbiz.de/10003988517
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Impossible Frontiers
Brennan, Thomas J. - 2010
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in …, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be …
Persistent link: https://www.econbiz.de/10012758111
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Impossible Frontiers
Brennan, Thomas J. - 2008
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in …, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be …
Persistent link: https://www.econbiz.de/10012464122
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What would be their effects on financial markets and institutions?
Lo, Andrew W.; Heaton, John - 1993
Persistent link: https://www.econbiz.de/10000996822
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Measuring risk preferences and asset-allocation decisions : a global survey analysis
Lo, Andrew W.; Remorov, Alexander; Ben Chaouch, Zied - In: Journal of investment management : JOIM 18 (2020) 3, pp. 5-50
Persistent link: https://www.econbiz.de/10012589063
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When are contrarian profits due to stock market overreaction?
Lo, Andrew W.; MacKinlay, Archie Craig - 1989
Persistent link: https://www.econbiz.de/10000766816
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What happened to the quants in August 2007? : evidence from factors and transactions data
Khandani, Amir E.; Lo, Andrew W. - 2008
Persistent link: https://www.econbiz.de/10003778778
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What happened to the quants in August 2007? : evidence from factors and transactions data
Khandani, Amir E.; Lo, Andrew W. - In: Journal of financial markets 14 (2011) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009267118