Andrew Lo
Encyclopedia
Andrew W. Lo is the Harris & Harris Group Professor
of Finance at the MIT Sloan School of Management
. He is a leading authority on hedge fund
s and financial engineering; he proposed the Adaptive market hypothesis
. He is the author of several academic articles in Finance
and Financial economics
.
He 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, LLC, 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.
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).
Professor
A professor is a scholarly teacher; the precise meaning of the term varies by country. Literally, professor derives from Latin as a "person who professes" being usually an expert in arts or sciences; a teacher of high rank...
of Finance at the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
. He is a leading authority on hedge fund
Hedge fund
A hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
s and financial engineering; he proposed the Adaptive market hypothesis
Adaptive market hypothesis
The adaptive market hypothesis, as proposed by Andrew Lo, is an attempt to reconcile economic theories based on the efficient market hypothesis with behavioral economics, by applying the principles of evolution to financial interactions: competition, adaptation and natural selection.Under this...
. He is the author of several academic articles in Finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
and Financial economics
Financial economics
Financial Economics is the branch of economics concerned with "the allocation and deployment of economic resources, both spatially and across time, in an uncertain environment"....
.
He is the director of MIT's Laboratory for Financial Engineering, a research associate of the National Bureau of Economic Research
National Bureau of Economic Research
The National Bureau of Economic Research is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic community." The NBER is well known for providing start and end...
, a member of the NASD
NASD
NASD may refer to:*National Agricultural Safety Database, maintained by the Centers for Disease Control and Prevention*National Amalgamated Stevedores and Dockers, a British trade union...
's Economic Advisory Board, and founder and chief scientific officer of AlphaSimplex Group, LLC, a quantitative investment management company based in Cambridge, Massachusetts. AlphaSimplex specializes in quantitative global macro
Global macro
Global Macro is defined as the strategy of investing, on a large scale, around the world using economic theory to justify the decision making process...
and global tactical asset allocation
Global tactical asset allocation
Global Tactical Asset Allocation, or GTAA, is a top-down investment strategy that attempts to exploit short-term mis-pricings among a global set of assets...
strategies, beta-replication products, and absolute-return
Absolute return
The absolute return or simply return is a measure of the gain or loss on an investment portfolio expressed as a percentage of invested capital. The adjective absolute is used to stress the distinction with the relative return measures often used by long-only equity funds, i.e...
risk analytics. He is an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management
Journal of Portfolio Management
The Journal of Portfolio Management is a quarterly academic journal covering asset allocation, performance measurement, market trends, risk management, and portfolio optimization. The journal was established in 1974 by Peter L. Bernstein. The current editor-in-chief is Frank J...
, the Journal of Computational Finance, and Statistica Sinica. He is a former governor of the Boston Stock Exchange
Boston Stock Exchange
The Boston Stock Exchange is a regional stock exchange located in Boston, Massachusetts. The third-oldest stock exchange in the United States, it was founded in 1834...
. He previously taught at the University of Pennsylvania
University of Pennsylvania
The University of Pennsylvania is a private, Ivy League university located in Philadelphia, Pennsylvania, United States. Penn is the fourth-oldest institution of higher education in the United States,Penn is the fourth-oldest using the founding dates claimed by each institution...
's Wharton School. He testified in front of the Committee on Oversight and Government Reform of the U.S. House of Representatives.
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
Guggenheim Fellowship
Guggenheim Fellowships are American grants that have been awarded annually since 1925 by the John Simon Guggenheim Memorial Foundation to those "who have demonstrated exceptional capacity for productive scholarship or exceptional creative ability in the arts." Each year, the foundation makes...
, the CFA Institute
CFA Institute
CFA Institute is headquartered in the United States of America at Charlottesville, Virginia, with offices in Hong Kong and London. Formerly known as the Association for Investment Management and Research , CFA Institute awards the Chartered Financial Analyst designation...
's James R. Vertin Award, and awards for teaching excellence from both Wharton and MIT.
He received a B.A.
Bachelor of Arts
A Bachelor of Arts , from the Latin artium baccalaureus, is a bachelor's degree awarded for an undergraduate course or program in either the liberal arts, the sciences, or both...
in Economics from Yale University
Yale University
Yale University is a private, Ivy League university located in New Haven, Connecticut, United States. Founded in 1701 in the Colony of Connecticut, the university is the third-oldest institution of higher education in the United States...
(1980) and a Ph.D.
Ph.D.
A Ph.D. is a Doctor of Philosophy, an academic degree.Ph.D. may also refer to:* Ph.D. , a 1980s British group*Piled Higher and Deeper, a web comic strip*PhD: Phantasy Degree, a Korean comic series* PhD Docbook renderer, an XML renderer...
in Economics
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...
from Harvard University
Harvard University
Harvard University is a private Ivy League university located in Cambridge, Massachusetts, United States, established in 1636 by the Massachusetts legislature. Harvard is the oldest institution of higher learning in the United States and the first corporation chartered in the country...
(1984).
Books
- Dynamics of the Hedge Fund Industry ISBN 0943205727
- Hedge Funds: An Analytic Perspective, 2008. Princeton, NJ: Princeton University Press ISBN 0691132941
- 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 0691092567
- Market Efficiency: Stock Market Behaviour in Theory and Practice ISBN 1858981611
- The Econometrics of Financial Markets, with John Y. Campbell and A. Craig MacKinlay, 1997. Princeton, NJ: Princeton University Press ISBN 0691043019
- 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 0226488470
- The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis by Andrew W. Lo and Jasmina Hasanhodzic. Published by Bloomberg Press. ISBN 978-1576603161