Andrew W. Lo

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Studies published by Andrew W. Lo.

Studies lacking replication:


Replicated studies:

  • Thomas J. Brennan, Andrew W. Lo. Impossible Frontiers (Management Science 2010).
    JEL codes: -. Methods: - Software: -
    Data availability unknown; Readme availability unknown; Code availability unknown
    Replication: Moshe Levy, Richard Roll. Critical Finance Review 2015.
    JEL codes: G11, G12. Keywords: Mean-variance analysis, CAPM, Portfolio optimization, Short selling, Reverse optimization
    Data: -. Type: reproduction (new methods). Result: different results. Call into question: yes. Replication authors statement: accepted results.

Replications:

Corrections:

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