Andrew Lo

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Andrew Lo
Andrew Lo 2012 Shankbone 2.JPG
Lo at the 2012 Time 100 gala
Born 1960 (age 53–54)[1]
Hong Kong[2]
Alma mater Yale University
Harvard 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.[3]

Lo is the director of MIT's Laboratory for Financial Engineering, a research associate of the National Bureau of Economic Research,[4] a member of the NASD's Economic Advisory Board, and founder and chief scientific officer of AlphaSimplex Group,[5] 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.[6] 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.

He received a B.A. in Economics from Yale University (1980) and a Ph.D. in Economics from Harvard University (1984).[5][7]

Books[edit]

  • 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

References[edit]

External links and references[edit]