Andrew Lo

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Andrew Lo
ALo WhiteShirtTie 1.jpg
Andrew Lo 2018
Born1960 (age 59–60)[1]
Alma materYale University
Harvard University
AwardsAmerican Association for Individual Investors Award
Graham and Dodd Award
Scientific career
ThesisEssays in Financial and Quantitative Economics (1984)
Doctoral advisorAndrew Abel
Jerry A. Hausman
Websitehttp://alo.mit.edu

Andrew Wen-Chuan Lo (Chinese: 羅聞全) (born 1960) is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics.[3] He founded AlphaSimplex Group in 1999 and served as Chairman and Chief Investment Strategist until 2018 when he transitioned to his current role as Chairman Emeritus and Senior Advisor.[4]

Career[edit]

Lo is a professor of finance at the MIT Sloan School of Management, the director of MIT's Laboratory for Financial Engineering, a principal investigator at MIT's Computer Science and Artificial Intelligence Laboratory, an affiliated faculty of the MIT Department of Electrical Engineering and Computer Science, an external faculty member of the Santa Fe Institute, and a research associate of the National Bureau of Economic Research.[5]

He is the founder of AlphaSimplex Group,[6] a quantitative investment management company based in Cambridge, Massachusetts, and served as its Chairman and Chief Investment Strategist until 2018 when he transitioned to his current role as Chairman Emeritus and Senior Advisor. AlphaSimplex specializes in quantitative global macro and global tactical asset allocation strategies, beta-replication products, and absolute-return risk analytics.

Lo is co-editor of the Annual Review of Financial Economics and advisor to the Journal of Investment Management and The Journal of Portfolio Management. He is also a director of Roivant Sciences, and all other current and past affiliations are disclosed on his personal website.

He previously taught at the University of Pennsylvania's Wharton School from 1984 to 1988.

He has testified before the Committee on Oversight and Government Reform and the Committee on Financial Services of the U.S. House of Representatives.[7][8]

With Lars Peter Hansen, Lo co-directed the Macro Financial Modeling project 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.

Awards[edit]

His awards include Batterymarch, Guggenheim, and Sloan Fellowships; the Paul A. Samuelson Award; the Eugene Fama Prize;[9] the IAFE-SunGard Financial Engineer of the Year award; the Global Association of Risk Professionals' Risk Manager of the Year award;[10] the Harry M. Markowitz Award; the Managed Futures Pinnacle Achievement Award;[11] one of TIME's "100 most influential people in the world";[12] and awards for teaching excellence from both Wharton and MIT. His most recent book, Adaptive Markets: Financial Evolution at the Speed of Thought, has also received a number of awards.[13] Lo is a Fellow of Academia Sinica, the American Academy of Arts and Sciences, the Econometric Society, and the Society of Financial Econometrics.

Personal life[edit]

Lo received a Bachelor of Arts in economics from Yale University where he graduated in 1980 and a Ph.D. in economics from Harvard University graduating in 1984.[6] He was raised by his mother in a single parent household.[14] He speaks fluent Cantonese.[15]

Publications[edit]

  • Adaptive Markets: Financial Evolution at the Speed of Thought. Princeton University Press. 2017. ISBN 978-0691135144.
  • Dynamics of the Hedge Fund Industry. ISBN 0-943205-72-7.
  • Hedge Funds: An Analytic Perspective. Princeton, NJ: Princeton University Press. 2008. ISBN 978-0-691-13294-5.
  • International Library of Financial Econometrics. I–V. Cheltenham, UK: Edward Elgar Publishing Ltd. 2007.
  • with MacKinlay, A. Craig (1999). A Non-Random Walk Down Wall Street. Princeton, NJ: Princeton University Press. ISBN 0-691-09256-7.
  • Lo, Andrew Wen-Chuan (1997). Market Efficiency: Stock Market Behaviour in Theory and Practice. ISBN 1-85898-161-1.
  • with Campbell, John Y.; MacKinlay, A. Craig (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press. ISBN 0-691-04301-9.
  • 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 0-226-48847-0.
  • with Hasanhodzic, Jasmina (2009-01-07). The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis. Bloomberg Press. ISBN 978-1-57660-316-1.

References[edit]

  1. ^ "Lo, Andrew W." Deutsche National Bibliothek. Retrieved 2013-05-14.
  2. ^ Healy, Beth (1 October 2012). "MIT economist pitches cancer megafund". The Boston Globe. Retrieved 14 May 2013.
  3. ^ Google Scholar search on A.W. Lo
  4. ^ Founder Biography, AlphaSimplex Group, retrieved 2020-01-07
  5. ^ NBER Publications by Andrew W. Lo – NBER
  6. ^ a b Profile: Andrew W. Lo – AlphaSimplex Group
  7. ^ 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
  8. ^ "Examining Private Market Exemptions as a Barrier to IPOs and Retail Investment | Financial Services Committee". financialservices.house.gov. Retrieved 2020-01-07.
  9. ^ "The Econometrics of Financial Markets awarded first Eugene Fama Prize". news.chicagobooth.edu. Retrieved 2020-01-07.
  10. ^ Professionals (GARP), Global Association of Risk. "GARP Names Andrew Lo Risk Manager of the Year". www.prnewswire.com. Retrieved 2020-01-07.
  11. ^ CME Group. "CME Group and BarclayHedge Honor Managed Futures Leaders at Seventh Annual Managed Futures Pinnacle Awards". www.prnewswire.com. Retrieved 2020-01-07.
  12. ^ Foroohar, Rana (2012-04-18). "Andrew Lo - The World's 100 Most Influential People: 2012 - TIME". Time. ISSN 0040-781X. Retrieved 2020-01-07.
  13. ^ Lo, Andrew W. (2017-05-02). Adaptive Markets. ISBN 978-0-691-13514-4.
  14. ^ Speech to CFA Institute Global Conference, Alpha and Beta in the New Financial Order (38:02), , Orlando, Florida, 2009
  15. ^ Andrew Lo at the Mathematics Genealogy Project

External links[edit]