) (born 1960) is the Charles E. and Susan T. HarrisProfessorof Finance at theMIT Sloan School of Management. Lo is the author of many academic articles infinanceandfinancial economics.As of 2018, he is the chairman emeritus and senior advisor of the AlphaSimplex Group.His most recent projects in the field of economics are risk and loss aversion, using spectral analysis regarding investments, and creating new statistical methods of analysis.
Lo is the director of MITs Laboratory for Financial Engineering, a research associate of theNational Bureau of Economic Research,6and a member of theNASDs Economic Advisory Board.
He is the founder and chief scientific officer of AlphaSimplex Group,7aquantitative investmentmanagement company based in Cambridge, Massachusetts. AlphaSimplex specializes in quantitativeglobal macroandglobal tactical asset allocationstrategies,beta-replication products, andabsolute-returnrisk analytics.
He is an associate editor of theFinancial Analysts Journal,The Journal of Portfolio Management, theJournal of Computational Finance, andStatistica Sinica. He is a former governor of theBoston Stock Exchange. He previously taught at theUniversity of PennsylvaniaWharton School.
He has testified in front of theCommittee on Oversight and Government Reformof theU.S. House of Representatives.8
WithLars Peter Hansen, he co-directs the Macro Financial Modeling group at theBecker Friedman Institute, a network ofmacroeconomistsworking to develop improved models of the linkages between the financial and real sectors of the economy in the wake of the2008 financial crisis.
In partnership withPhilip Vasan, formerly ofCredit Suisseand nowBlackRock, and Pankaj Patel, formerly ofCredit Suisseand now Cirrus Research,9launched the first passive and investible130/30Equity index to compare performance of13030 fund10. They also created first and only oneETF Available for 130/30 Strategyin partnership with Proshares. ProShares Large Cap Core Plus that track the performance of the Credit Suisse 130/30 Large Cap Index (CSM). Jacobs Levy Award: The Tenth Annual Bernstein Fabozzi / Jacobs Levy Award Awards of Excellence for Outstanding Article 130/30: The New Long-Only , Appearing inThe Journal of Portfolio Management, Winter 200811.
He has made several publications in academic journals, and he recently wrote a work titled Adaptive Markets: Financial Evolution at the Speed of Thought.12
His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, theGraham and Dodd Award, the 2001IAFE-SunGard Financial Engineer of the Yearaward, aGuggenheim Fellowship, theCFA Institutes James R. Vertin Award, and awards for teaching excellence from both Wharton and MIT. His bookAdaptive Marketshas been shortlisted for the 2017Financial Timesand McKinsey Business Book of the Year Award. He also made TIMEs prestigious list of 100 most influential people in the world.13
Lo received aBachelor of ArtsineconomicsfromYale Universitywhere he graduated in 1980 and economics fromHarvard Universitygraduating in 1984.7He was raised by his mother in asingle parenthousehold.14He speaks fluentCantonese.15
Adaptive Markets: Financial Evolution at the Speed of Thought
. Princeton University Press. 2017.ISBN
. Princeton, NJ: Princeton University Press. 2008.ISBN
International Library of Financial Econometrics
. Cheltenham, UK: Edward Elgar Publishing Ltd. 2007.
. Princeton, NJ: Princeton University Press.ISBN
Market Efficiency: Stock Market Behaviour in Theory and Practice
with Campbell, John Y.; MacKinlay, A. Craig (1997).
. Princeton, NJ: Princeton University Press.ISBN
Market Efficiency: Stock Market Behaviour In Theory and Practice
. I and II. Cheltenham, UK: Edward Elgar Publishing Ltd. 1997.
The Industrial Organization and Regulation of the Securities Industry
. Chicago: University of Chicago Press. 1995.ISBN
The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis
Healy, Beth (1 October 2012).MIT economist pitches cancer megafund.
Lo, Andrew W.,Hedge Funds, Systemic Risk, and the Financial Crisis of 20072008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds, November 13, 2008
Speech to CFA Institute Global Conference,Alpha and Beta in the New Financial Order (38:02), , Orlando, Florida, 2009
Becker Friedman Institute – Macro Financial Modeling
PapersonSocial Science Research Network(SSRN)
Appell, Douglas (July 13, 2009).Ready for anything: Face to Face with Andrew Lo. Pensions & Investments.
Reading About the Financial Crisis: A 21-Book Review
An ber-review of the crisis: The Lo down: A finance professor turns to literary analysisThe Economist. Jan 14, 2012.
Goldstein, Jacob (Jan 23, 2012).What An Economist Learned From Reading 21 Books About The Crisis. NPR.
If youre drunk and youre playing around with a [hand] saw, theres not a whole lot of damage you can do. But if youre drunk and youre playing around with a chainsaw, thats another matter
Fellows of the American Academy of Arts and Sciences
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This page was last edited on 24 April 2019, at 03:39