Andrew W. Lo : Citation Profile


Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

36

H index

58

i10 index

9630

Citations

RESEARCH PRODUCTION:

71

Articles

92

Papers

3

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   38 years (1984 - 2022). See details.
   Cites by year: 253
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 351.    Total self citations: 64 (0.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo171
   Updated: 2024-01-16    RAS profile: 2022-06-07    
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Relations with other researchers


Works with:

Thakor, Richard (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew W. Lo.

Is cited by:

Gil-Alana, Luis (70)

Darné, Olivier (43)

Tabak, Benjamin (41)

Kim, Jae (37)

Caporale, Guglielmo Maria (36)

Wong, Wing-Keung (36)

Giudici, Paolo (35)

Billio, Monica (32)

Bollerslev, Tim (30)

faff, robert (30)

Phillips, Peter (27)

Cites to:

merton, robert (46)

Duffie, Darrell (29)

Campbell, John (24)

Stulz, René (22)

Fama, Eugene (21)

Longstaff, Francis (20)

Brennan, Michael (20)

Jarrow, Robert (19)

Grossman, Sanford (19)

Dybvig, Philip (18)

Scholes, Myron (18)

Main data


Where Andrew W. Lo has published?


Journals with more than one article published# docs
Journal of Financial Economics10
Annual Review of Financial Economics6
Journal of Econometrics5
Journal of Finance4
Review of Financial Studies4
PLOS ONE3
Quarterly Journal of Finance (QJF)3
Journal of Financial Markets3
American Economic Review3
Quantitative Finance3
Journal of Banking & Finance2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc41
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Andrew W. Lo (2024 and 2023)


YearTitle of citing document
2023A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market. (2023). Khalaf, Oshamah Ibrahim ; Bouasabah, Mohammed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:1-13.

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2023.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023The Effects of New Equity Announcements on Stock Returns: An Examination on BIST. (2023). Ergun, Bahadir ; Unal, Cumali. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:8:y:2023:i:2:p:224-243.

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2023EFFECTS OF INDEX ADDITIONS ON STOCK PRICE INFORMATIVENESS. (2023). Gavrilova, Daria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:gavrilovad.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012.

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2023On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2023Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

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2023Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267.

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2023A C\`adl\`ag Rough Path Foundation for Robust Finance. (2021). Promel, David J ; Liu, Chong ; Allan, Andrew L. In: Papers. RePEc:arx:papers:2109.04225.

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2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2023Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. (2021). Kallsen, Jan ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2110.09416.

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2023Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245.

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2023Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2111.04311.

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2023Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2023Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2023Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423.

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2023$\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582.

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2023Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2023Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Valuing Pharmaceutical Drug Innovations: An Event Study Approach. (2022). Khmelnitskaya, Ekaterina ; Farmer, Leland E ; Ciliberto, Federico ; Aryal, Gaurab. In: Papers. RePEc:arx:papers:2212.07384.

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2023Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2301.08359.

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2023PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets. (2023). An, BO ; Wang, Xinrun ; Qin, Molei ; Sun, Shuo. In: Papers. RePEc:arx:papers:2302.00586.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Financial Distress Prediction For Small And Medium Enterprises Using Machine Learning Techniques. (2023). Zhou, Jietong ; Jiang, Biao ; Gao, Yuan. In: Papers. RePEc:arx:papers:2302.12118.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2023Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

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2023Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323.

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2023Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2023NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years. (2023). Press, William H. In: Papers. RePEc:arx:papers:2305.08241.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264.

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2023Exponential Utility Maximization in a Discrete Time Gaussian Framework. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2305.18136.

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2023Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers. (2023). Zohren, Stefan ; Moreno-Pino, Fernando ; Cartea, Alvaro ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2306.05479.

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2023Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023A multi-agent targeted trading equilibrium with transaction costs. (2023). Weston, Kim ; Duraj, Jetlir ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2306.08519.

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2023Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network. (2023). Mulvey, John M ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2306.08809.

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2023On some semi-parametric estimates for European option prices. (2023). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2306.10929.

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2023Optimal Execution Using Reinforcement Learning. (2023). Yang, Can ; He, Jiafa ; Zheng, Cong. In: Papers. RePEc:arx:papers:2306.17178.

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2023Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2023Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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2023Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694.

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2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

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2023Macroscopic Market Making. (2023). Nam, Kihun ; Jin, Shijia ; Guo, Ivan. In: Papers. RePEc:arx:papers:2307.14129.

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2023Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

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2023Alpha-GPT: Human-AI Interactive Alpha Mining for Quantitative Investment. (2023). Guo, Jian ; Shum, Heung-Yeung ; Ni, Lionel M ; Zhou, Leon ; Yuan, Hang ; Wang, Saizhuo. In: Papers. RePEc:arx:papers:2308.00016.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944.

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2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

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2023DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2023Market Crowds Trading Behaviors, Agreement Prices, and the Implications of Trading Volume. (2023). Piao, Yan ; Wang, Yiwen ; Han, Liyan ; Zhu, Yingzi ; Shi, Leilei. In: Papers. RePEc:arx:papers:2310.05322.

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2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

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2023Stock Market Directional Bias Prediction Using ML Algorithms. (2023). Chipwanya, Ryan. In: Papers. RePEc:arx:papers:2310.16855.

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2023Maximizing Portfolio Predictability with Machine Learning. (2023). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2311.01985.

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2023Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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2023.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023Investor behavior under market stress:evidence from the Italian sovereign bond market. (2023). Panzarino, Onofrio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:misp_033_23.

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2023.

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2023Trading under uncertainty about other market participants. (2023). Papadimitriou, Dimitris. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:343-367.

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2023Finance research: What are the new frontiers?. (2023). Thakor, Anjan V. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:453-462.

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2023Understanding and governing global systemic crises in the 21st century: A complexity perspective. (2023). Levrat, Nicolas ; Masood, Maria ; Kaspiarovich, Yuliya ; Vanackere, Flore ; Bottcher, Lucas ; Wernli, Didier. In: Global Policy. RePEc:bla:glopol:v:14:y:2023:i:2:p:207-228.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358.

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2023An analysis of the evolution of global financial network of the coordinated portfolio investment survey. (2023). Ahn, Seryoong ; Koo, Hyeng Keun ; Jung, Jae Woong. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:437-459.

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2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2023Relative Valuation with Machine Learning. (2023). Lu, Helen ; Geertsema, Paul. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:1:p:329-376.

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2023.

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2023Optimal measure preserving derivatives revisited. (2023). Beare, Brendan. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:370-388.

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2023Trading with the crowd. (2023). Voss, Moritz ; Neuman, Eyal. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:548-617.

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2023.

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2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

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2023.

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2023Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj.

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2023.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

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2023Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873.

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2023Price fairness: Clean energy stocks and the overall market. (2023). Ahn, Kwangwon ; Yi, Eojin ; Park, Kwangyeol ; Choi, Gahyun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:168:y:2023:i:c:s0960077922012280.

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2023Predicting the unpredictable: New experimental evidence on forecasting random walks. (2023). Corgnet, Brice ; Bao, Te ; Riyanto, Yohanes E ; Hanaki, Nobuyuki ; Zhu, Jiahua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002743.

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More than 100 citations found, this list is not complete...

Andrew W. Lo has edited the books:


YearTitleTypeCited

Works by Andrew W. Lo:


YearTitleTypeCited
2012Privacy-Preserving Methods for Sharing Financial Risk Exposures In: American Economic Review.
[Full Text][Citation analysis]
article9
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
[Full Text][Citation analysis]
article8
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
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article77
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77
paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]
article68
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article36
2020Robert C. Merton: The First Financial Engineer In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article1
2020Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article11
2009Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article1
2012A Survey of Systemic Risk Analytics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article430
2012A Survey of Systemic Risk Analytics.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 430
paper
2013Introduction to Volume 5 of the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article2
2015Hedge Funds: A Dynamic Industry in Transition In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article19
2015Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
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1999Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999.
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2018Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments In: Quarterly Journal of Finance (QJF).
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