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~person:"Lo, Andrew W."
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Portfolio selection
73
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73
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34
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17
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Lo, Andrew W.
Woessmann, Ludger
289
Fabozzi, Frank J.
232
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176
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158
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148
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126
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123
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121
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121
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117
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108
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104
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104
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103
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102
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101
Hasan, Iftekhar
96
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91
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91
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89
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87
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86
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85
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84
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84
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83
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81
Kato, Takao
81
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80
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78
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77
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76
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76
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76
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75
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75
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74
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72
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ECONIS (ZBW)
74
RePEc
3
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61
Data-Snooping Biases in Tests of Financial Asset Pricing Models
Lo, Andrew W.
-
1989
We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...
Persistent link: https://www.econbiz.de/10012476047
Saved in:
62
When are Contrarian Profits Due to Stock Market Overreaction?
Lo, Andrew W.
-
1989
The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies that attempt to exploit return reversals may still earn positive expected profits. This is due to...
Persistent link: https://www.econbiz.de/10012476071
Saved in:
63
Trading volume : definitions, data analysis, and implications of portfolio theory
Lo, Andrew W.
;
Wang, Jiang
- In:
The review of financial studies
13
(
2000
)
2
,
pp. 257-300
Persistent link: https://www.econbiz.de/10001485494
Saved in:
64
Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine
;
Lo, Andrew W.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 9-51
Persistent link: https://www.econbiz.de/10001437741
Saved in:
65
Econometric models of limit-order executions
Lo, Andrew W.
;
MacKinlay, Archie Craig
;
Zhang, June
-
1999
Persistent link: https://www.econbiz.de/10001408440
Saved in:
66
Computational Finance
Weigend, Andreas S.
-
1999
Treynor
Performance
Measures: -- A Bootstrap Approach -- Conditional Value at Risk -- Advances in Importance Sampling …
Persistent link: https://www.econbiz.de/10012680326
Saved in:
67
Optimal control of execution costs
Bertsimas, Dimitris
- In:
Journal of financial markets
1
(
1998
)
1
,
pp. 1-50
Persistent link: https://www.econbiz.de/10001249274
Saved in:
68
Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine
;
Lo, Andrew W.
-
1997
Persistent link: https://www.econbiz.de/10000637525
Saved in:
69
Econometric models of limit-order executions
Lo, Andrew W.
;
MacKinlay, Archie Craig
;
Zhang, June
-
1997
Persistent link: https://www.econbiz.de/10000645107
Saved in:
70
Maximizing predictability in the stock and bond markets
Lo, Andrew W.
- In:
Macroeconomic dynamics
1
(
1997
)
1
,
pp. 102-134
Persistent link: https://www.econbiz.de/10001337437
Saved in:
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