Lo at the 2012 Time 100 gala
|Born||1960 (age 53–54)
|Alma mater||Yale University
|Thesis||Essays in Financial and Quantitative Economics (1984)|
|Doctoral advisor||Andrew Abel
Jerry A. Hausman
Andrew Wen-Chuan Lo (born 1960) is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. He is a leading authority on hedge funds and financial engineering; he proposed the adaptive market hypothesis. Lo is the author of several academic articles in Finance and Financial economics.
Lo is the director of MIT's Laboratory for Financial Engineering, a research associate of the National Bureau of Economic Research, a member of the NASD's Economic Advisory Board, and founder and chief scientific officer of AlphaSimplex Group, a quantitative investment management company based in Cambridge, Massachusetts. AlphaSimplex specializes in quantitative global macro and global tactical asset allocation strategies, beta-replication products, and absolute-return risk analytics. He is an associate editor of the Financial Analysts Journal, The Journal of Portfolio Management, the Journal of Computational Finance, and Statistica Sinica. He is a former governor of the Boston Stock Exchange. He previously taught at the University of Pennsylvania's Wharton School. He testified in front of the Committee on Oversight and Government Reform of the U.S. House of Representatives. With Lars Peter Hansen, he co-directs the Macro Financial Modeling group at the Becker Friedman Institute, a network of macroeconomists working to develop improved models of the linkages between the financial and real sectors of the economy in the wake of the 2008 financial crisis.
His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial Engineer of the Year award, a Guggenheim Fellowship, the CFA Institute's James R. Vertin Award, and awards for teaching excellence from both Wharton and MIT.
- Dynamics of the Hedge Fund Industry ISBN 0-943205-72-7
- Hedge Funds: An Analytic Perspective, 2008. Princeton, NJ: Princeton University Press ISBN 0-691-13294-1
- International Library of Financial Econometrics, Volumes I–V, 2007. Cheltenham, UK: Edward Elgar Publishing Ltd.
- A Non-Random Walk Down Wall Street, with A. Craig MacKinlay, 1999. Princeton, NJ: Princeton University Press ISBN 0-691-09256-7
- Market Efficiency: Stock Market Behaviour in Theory and Practice ISBN 1-85898-161-1
- The Econometrics of Financial Markets, with John Y. Campbell and A. Craig MacKinlay, 1997. Princeton, NJ: Princeton University Press ISBN 0-691-04301-9
- Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II, 1997. Cheltenham, UK: Edward Elgar Publishing Ltd.
- The Industrial Organization and Regulation of the Securities Industry, 1995. Chicago: University of Chicago Press ISBN 0-226-48847-0
- The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis by Andrew W. Lo and Jasmina Hasanhodzic. Published by Bloomberg Press. ISBN 978-1-57660-316-1
- "Lo, Andrew W.". Deutsche National Bibliothek. Retrieved 2013-05-14.
- Healy, Beth (1 October 2012). "MIT economist pitches cancer megafund". The Boston Globe. Retrieved 14 May 2013.
- Google Scholar search on A.W. Lo
- NBER Publications by Andrew W. Lo – NBER
- Profile: Andrew W. Lo – AlphaSimplex Group
- Lo, Andrew W., "Hedge Funds, Systemic Risk, and the Financial Crisis of 2007–2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds", November 13, 2008
- Andrew Lo at the Mathematics Genealogy Project