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Andrew W. Lo

Harris & Harris Group Professor
Professor of Finance
Director of Lab for Financial Engineering

Biography | Publications

Andrew W. Lo

Andrew W. Lo is the Harris & Harris Group Professor of Finance at the MIT Sloan School of Management and the director of MIT's Laboratory for Financial Engineering. He received his Ph.D. in economics from Harvard University in 1984, and taught at the University of Pennsylvania's 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.

He has published numerous articles in finance and economics journals, and is a co-author of The Econometrics of Financial Markets and A Non-Random Walk Down Wall Street, and author of Hedge Funds: An Analytic Perspective. He is currently an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, the Journal of Computational Finance, and Statistica Sinica. 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 is a former governor of the Boston Stock Exchange, and currently 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.

Web Site: web.mit.edu/alo/www/

Working Papers: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=17399

 

Contact Information
Office: E52-454
Tel: 617-253-0920
Fax: 617-258-6855
E-mail: alo@mit.edu

Support Staff
Name: Jayna Cummings
Tel: 617-258-5727
E-mail: jcummin@mit.edu

Group(s)

Research Center(s)

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

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