Mark Mueller

Mark Mueller

Mark Mueller is a Senior Lecturer in the Finance group at the MIT Sloan School of Management. He has been a practitioner and a researcher in quantitative finance for nearly twenty years. Mark worked for twelve years at the asset management firm Grantham, Mayo, van Otterloo and Company in Boston, retiring in 2009 after five years as an active partner. While there he co-founded the Algorithmic Trading Group, a hedge fund within GMO which did high-frequency trading, and he served as the director of research for the Global Fixed Income division at GMO prior to that. He has also worked at Goldman Sachs as a proprietary trader focusing on fixed income relative value strategies, and he began his career in quantitative finance in the equity derivatives research group at Morgan Stanley. Currently, Mark is a senior research advisor for the Alpha Simplex Group.

His research and teaching interests in finance include quantitative approaches (and their limitations) to modeling return and risk in financial markets, and optimization methods in active portfolio management. Recently, Mark co-authored a paper with Professor Andrew Lo at MIT Sloan entitled "Warning: Physics Envy May Be Hazardous to Your Wealth!," which introduced a framework for understanding and assessing a hierarchy of risk and uncertainty in financial markets. It was awarded the first Harry Markowitz prize.

A physicist, Mark is also currently a Visiting Scientist in the Center for Theoretical Physics at MIT, where he is actively pursuing research projects in theoretical physics. Mark received his B.S. in physics from MIT in 1978 and his Ph.D. in physics from Stanford in 1984. He has held postdoctoral research positions in physics at the Institute for Advanced Study in Princeton, the University of Pennsylvania, and Harvard University.

General Expertise: Asset management; Derivatives; Exchange rates; Futures; Options pricing; Trading decisions

 

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

Contact Information

Office: E62-586

Tel: (617) 715-4841

E-mail: mtm_mit@mit.edu

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Research Papers

http://mitsloan.mit.edu/faculty/publications.php?in_spseqno=41225&co_list=F

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