Andrew Lo

Charles E. and Susan T. Harris Professor
Professor of Finance
Director, Laboratory for Financial Engineering

Biography | Selected Publications

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.

Prior to MIT Sloan, he taught at the University of Pennsylvania Wharton School as the W.P. Carey Assistant Professor of Finance from 1984 to 1987, and as the W.P. Carey Associate Professor of Finance from 1987 to 1988. His research interests include the empirical validation and implementation of financial asset pricing models; the pricing of options and other derivative securities; financial engineering and risk management; trading technology and market microstructure; statistics, econometrics, and stochastic processes; computer algorithms and numerical methods; financial visualization; nonlinear models of stock and bond returns; hedge-fund risk and return dynamics and risk transparency; and, most recently, evolutionary and neurobiological models of individual risk preferences and financial markets.

Lo has published numerous articles in finance and economics journals. He is a co-author of The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, The Heretics of Finance, and The Evolution of Technical Analysis, and is the author of Hedge Funds: An Analytic Perspective. Lo is currently an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, the Journal of Computational Finance, and Quantitative Finance, and is a co-editor of Annual Review of Financial Economics.

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 the Wharton School of the University of Pennsylvania and MIT Sloan. A former governor of the Boston Stock Exchange, he is currently a Research Associate of the National Bureau of Economic Research and a member of the OFR Financial Research Advisory Committee, the New York Federal Reserve Board’s Financial Advisory Roundtable, FINRA’s Economic Advisory Committee, the Consortium for Systemic Risk Analytics Academic Advisory Board, the Board on Mathematical Sciences and Their Applications, and Beth Israel Deaconess Medical Center’s Board of Overseers. He is founder and chief scientific officer of AlphaSimplex Group, LLC, a quantitative investment management company based in Cambridge, Massachusetts.

Lo holds a BA in economics from Yale University as well as an AM and a PhD in economics from Harvard University.

Currrent Research Focus:  Lo’s research focuses on systemic risk, evolutionary models of behavior, healthcare finance, and the dynamics of the hedge funds industry. Current projects include mapping the network of interconnections between banks, insurance companies, and sovereigns; deriving risk aversion from evolution in stochastic environments; the development of financing vehicles to support drug discovery; and modeling the endogenous risk among hedge fund strategies.

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Fax: (617) 258-6855
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Tel: (617) 258-5727
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Analyst forecasts; Angel investing; Applied economics; Applied math; Applied probability; Arbitrage pricing theory; Artificial intelligence; Asset management and pricing; Banking; Banking management; Banking operations and policy; Banking regulation; Bankruptcy; Bayesian networks; Bayesian statistics; Bond markets; Bond negotiations; Bond pricing; Business education; Business intelligence; Business plans; Capital budgeting; Capital controls; Capital market; CEO compensation; Chat rooms, investment; Consumer behavior; Contagion; Corporate finance; Corporate governance; Corporate strategy and policy; Currency; Data acquisition; Data mining; Decision making, decision support; Deflation; Derivatives; Disaster recovery; Distance learning; Diversification, corporate; Dividend policy; Dot-com; E-commerce; Econometrics; Economic crisis; Economics; Economy, current conditions; Education; Emerging businesses; Entrepreneurial finance; Entrepreneurial management; Entrepreneurship / New ventures; Equities; Euro; Exchange rates; Executive compensation; Executive education; Federal Reserve; Financial econometrics; Financial engineering; Financial information technology; Financial markets; Financial reporting; Financial services; Financial statement analysis; Foreign investment; Futures; Government; Hedge funds; Hurdle rates; Inflation; Information technology; Information technology, artificial intelligence; Intellectual property; Intellectual property law; Interest rates; International finance; Intertemporal choice; Investment analysis; Investment banking; Investment risk; Investment strategies; Knowledge sharing; Law; Macroeconomics; Market, categorical structures in; Mathematical programming; MBA; Mergers and acquisitions; Mortgage funds; Mutual funds; Neural networks; New stock markets; New ventures; Non-linear dynamics; Online banking; Online feedback mechanisms; Operations research; Optimal control; Optimization; Options; Patents; Pensions; Personal finance; Portfolio choice; Portfolio design and management; Private equity; Probability, applied; Research and development; Research, academic; Retirement planning; Revenue management; Risk capital; Risk management; Sampling; Securities and Exchange Commission; Security prices; Simulation; Software agents; Startups; Statistics; Stochastic modeling; Stock exchange; Stock exchange consolidation; Stock market; Stock options; Stock trading; Sub-prime lending; Technology; Trading decisions; Treasuries; Valuation; Venture capital; Wall Street; Web-based marketing