Andrew Lo

Charles E. and Susan T. Harris Professor

Professor, Finance

Director, Laboratory for Financial Engineering

Andrew Lo

Andrew W. Lo is the Charles E. and Susan T. Harris Professor, a Professor of Finance, and the Director of the Laboratory for Financial Engineering at the MIT Sloan School of Management.

His current research spans five areas: evolutionary models of investor behavior and adaptive markets, systemic risk and financial regulation, quantitative models of financial markets, financial applications of machine-learning techniques and secure multi-party computation, and healthcare finance. Recent projects include: deriving risk aversion, loss aversion, probability matching, and other behaviors as emergent properties of evolution in stochastic environments; constructing new measures of systemic risk and comparing them across time and systemic events; applying spectral analysis to investment strategies to decompose returns into fundamental frequencies; and developing new statistical tools for predicting clinical trial outcomes, incorporating patient preferences into the drug approval process, and accelerating biomedical innovation via novel financing structures.

Lo has published numerous articles in finance and economics journals (see http://alo.mit.edu), and has authored several books including Adaptive Markets: Financial Evolution at the Speed of Thought, The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, Hedge Funds: An Analytic Perspective, and The Evolution of Technical Analysis. He is currently coeditor of the Annual Review of Financial Economics and advisor to the Journal of Investment Management and the Journal of Portfolio Management.

His awards include Batterymarch, Guggenheim, and Sloan Fellowships; the TIAA Paul A. Samuelson Award; the Fama-DFA Prize; the IAFE/SunGard Financial Engineer of the Year; the Global Association of Risk Professionals Risk Manager of the Year; the Harry M. Markowitz Award; the Managed Futures Pinnacle Achievement Award; one of TIME’s “100 most influential people in the world”; and awards for teaching excellence from both Wharton and MIT. His book, Adaptive Markets, has also received a number of awards. He is a Fellow of Academia Sinica, the American Academy of Arts and Sciences, the Econometric Society, and The Society for Financial Econometrics.

 

Lo is also a principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory, an affiliated faculty member 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. He is a member of the New York Federal Reserve Board’s Financial Advisory Roundtable, FINRA’s Economic Advisory Committee, the National Academy of Sciences Board on Mathematical Sciences and Their Applications, Beth Israel Deaconess Medical Center’s Board of Overseers, and the boards of Roivant Sciences and the Whitehead Institute for Biomedical Research.

 

Lo holds a BA in economics from Yale University and an AM and PhD in economics from Harvard University. Prior to MIT Sloan, he taught at the Wharton School of the University of Pennsylvania l from 1984 to 1988.

 

General Expertise: Analyst forecasts; Angel investing; Applied economics; Applied mathematics; Applied probability; Arbitrage pricing theory; Artificial intelligence; Asset management; Asset pricing; Banking; Banking management; Banking operations and policy; Banking regulation; Bankruptcy; Bayesian networks; Bayesian statistics; Bayesian statistics; Big data; Biopharmaceutical; Biotechnology; Bond markets; Bond negotiations; Bond pricing; Business intelligence; Business plans; Cancer; Capital budgeting; Capital controls; Capital market; CEO compensation; Clinical trials; Consumer behavior; Contagion; Corporate diversification; Corporate finance; Corporate governance; Corporate strategy and policy; Currency; Cyber security; Data acquisition; Data analysis; Data mining; Decision making; Deflation; Derivatives; Disaster recovery; Distance learning; Dividend policy; Dot-com; Drug models; eCommerce; Econometrics; Economic crisis; Economics; Education; Emerging businesses; Entrepreneurial finance; Entrepreneurial management; Equities; Euro; Exchange rates; Executive compensation; Federal Reserve; Financial econometrics; Financial engineering; Financial information technology; Financial information technology; Financial markets; Financial reporting; Financial services; Financial statement analysis; Foreign investment; Futures; Government; Healthcare; Healthcare industry; Hedge funds; Hurdle rates; Inflation; Intellectual property; Intellectual property law; Interest rates; International finance; Internet privacy issues; Intertemporal choice; Investment analysis; Investment banking; Investment risk; Investment strategies; Knowledge sharing; Macroeconomics; Mathematical programming; MBA; Medical decision making; Medicine; Mergers and acquisitions; Mobile banking; MOOCs; Mortgage funds; Mutual funds; Neural networks; New venture development; New ventures; Non-linear dynamics; Online banking; Online education; Online feedback mechanisms; Operations research; Optimal control; Optimization; Options; Patents; Pensions; Personal finance; Pharmaceuticals; Portfolio choice; Portfolio design and management; Private equity; Research and development; Retirement planning; Revenue management; Risk capital; Risk management; Sampling; Securities and Exchange Commission (SEC); Security prices; Simulation; Software agents; Startups / Start-ups; Statistics; Stochastic modeling; Stock exchange; Stock exchange consolidation; Stock market; Stock options; Stock trading; Subprime lending; Trading decisions; Treasuries; Venture capital; Wall Street; Web-based marketing

              

For more background on this faculty member's research and academic initiatives, please visit the MIT Sloan faculty directory.

Contact Information

Office: E62-618

Tel: (617) 253-0920

Fax: (617) 258-6855

E-mail: andrew.lo@mit.edu

http://alo.mit.edu

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