NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Impossible Frontiers

Thomas J. Brennan, Andrew W. Lo

NBER Working Paper No. 14525
Issued in December 2008

---- Acknowledgements -----

The views and opinions expressed in this article are those of the authors only, and do not necessarily represent the views and opinions of AlphaSimplex Group, MIT, Northwestern University, any of their affiliates and employees, or the National Bureau of Economic Research. The authors make no representations or warranty, either expressed or implied, as to the accuracy or completeness of the information contained in this article, nor are they recommending that this article serve as the basis for any investment decision---this article is for information purposes only. Research support from AlphaSimplex Group and the MIT Laboratory for Financial Engineering is gratefully acknowledged. We thank Henry Cohn, Sanjiv Das, Arnout Eikeboom, Leonid Kogan, Tri-Dung Nguyen, and participants of the JOIM Fall 2008 Conference and the MIT Finance Lunch for helpful comments and discussions.

return to bibliography page

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us