Andrew Lo 2018
1960 (age 57–58)|
American Association for Individual Investors Award|
Graham and Dodd Award
|Thesis||Essays in Financial and Quantitative Economics (1984)|
Jerry A. Hausman
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. He is the chairman and chief investment strategist of the AlphaSimplex Group.
He is the 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.
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. His book Adaptive Markets has been shortlisted for the 2017 Financial Times and McKinsey Business Book of the Year Award.
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. He was raised by his mother in a single parent household. He speaks fluent Cantonese Chinese.
- 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 0-691-13294-1.
- 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.
- 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. The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis. 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
- WealthTrack (2013-01-26), Andrew Lo, retrieved 2016-12-30
- 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
- Speech to CFA Institute Global Conference, Alpha and Beta in the New Financial Order (38:02), , Orlando, Florida, 2009
- Andrew Lo at the Mathematics Genealogy Project
- Official website
- Becker Friedman Institute - Macro Financial Modeling
- Profile on MIT Sloan
- Papers on Social Science Research Network (SSRN)
- Profile on Alpha Simplex
- 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" (PDF). Draft. Jan 9, 2012. Archived from the original (pdf) on 2012.
- "An über-review of the crisis: The Lo down: A finance professor turns to literary analysis". The Economist. Jan 14, 2012.
- Goldstein, Jacob (Jan 23, 2012). "What An Economist Learned From Reading 21 Books About The Crisis". NPR.
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