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Market efficiency : stock market behaviour in theory and practice
Lo, Andrew W. (contributor) - 1997
Persistent link: https://www.econbiz.de/10000971430
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A non-random walk down Wall Street
Lo, Andrew W.; MacKinlay, Archie Craig - 2002
Persistent link: https://www.econbiz.de/10001611544
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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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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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Stock market prices do not follow random walks : evidence from a simple specification test
Lo, Andrew W.; MacKinlay, Archie Craig - 1987
Persistent link: https://www.econbiz.de/10000715637
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Hedge fund holdings and stock market efficiency
Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - In: Review of asset pricing studies 8 (2018) 1, pp. 77-116
Persistent link: https://www.econbiz.de/10012001539
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The wisdom of Twitter crowds : predicting stock market reactions to FOMC meetings via Twitter feeds
Azar, Pablo D.; Lo, Andrew W. - In: The journal of portfolio management : a publication of … 42 (2016) 5, pp. 123-134
Persistent link: https://www.econbiz.de/10011686794