Andrew Lo


Charles E. and Susan T. Harris Professor
Professor of 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.

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 coauthor of The Econometrics of Financial Markets, A Non-Random Walk Down Wall StreetThe 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 coeditor 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.

Current Research Focus:  Lo’s current research falls into four areas: evolutionary models of behavior and adaptive markets, systemic risk, the dynamics of the hedge funds industry, and healthcare finance.  Current projects include: deriving risk aversion, loss aversion, probability matching, and other behaviors as the product 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 risk management tools for drug discovery and financing methods for funding biomedical innovation.


Faculty Media

  • [Innovation@Work Blog] Health Care Loans: Combatting Escalating Drug Costs with Financial Engineering

    In today's economy, for better or for worse, taking out a loan to cover the cost of a major expense--a new car, a new home, or a new baby--is commonplace. So why not apply that thinking to healthcare?


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  • Interview With Andrew Lo: Masters in Business

    Bloomberg View columnist Barry Ritholtz interviews Andrew Lo.


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  • Opinion: This is Your Brain on Stocks

    Are investors rational or emotional? Maybe they’re both.


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  • Interview with Andrew Lo

    When President Harry Truman asked to be sent a one-handed economist, he aptly summarised the conundrum that Andrew Lo sets out to resolve in his book, Adaptive Markets.


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  • Andrew W. Lo Talks How to Evolve With 'Adaptive Markets'

    Andrew W. Lo talks about his upcoming book, "Adaptive Markets: Financial Evolution at the Speed of Thought," and how to adapt to evolving markets to protect yourself from the next crash.


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  • Buy, Sell or Adapt

    Then, MIT economist Andrew Lo talks to John about the adaptive markets hypothesis, the subject of his forthcoming book. Clip courtesy of NBC.


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  • Financing Around a Health Care Bottleneck

    This new IT Sloan course with Andrew Lo will apply alternative funding techniques to new drug development.


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  • Alternatives Monthly: Andrew Lo’s Strategy

    The MIT professor uses behavioral science to build strategies at AlphaSimplex Group.


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  • A Robot Wants Your Job

    The investor of the future may already be incubating in a computer lab. Time to adapt to survive.


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  • ‘Not Unlike A Mortgage’: Health Care Loans Proposed For Pricey Treatments

    MIT professor Andrew Lo and Dr. David Weinstock at the Dana-Farber Cancer Institute say it’s time to create a long-term health care loan.


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Contact Information

Office: E62-618
Phone: (617) 253-0920
Fax: (617) 258-6855
Email: alo-admin@MIT.EDU
Website: http://web.mit.edu/alo/www/
Support Staff
Name: Crystal Myler
Phone: (617) 715-4840

Teaches In

Artificial Intelligence: Implications for Business Strategy (self-paced online) Jan 31-Mar 20, 2018 | Feb 28-Apr 17, 2018 | Apr 4-May 22, 2018 | May 30-Jul 17, 2018 | Jun 27-Aug 18, 2018 | Aug 29-Oct 16, 2018 | Sep 26-Nov 13, 2018 | Nov 28, 2018-Jan 22, 2019

Alternatives Monthly: Andrew Lo’s Strategy

In this Barron's article, the MIT professor uses behavioral science to build strategies at AlphaSimplex Group. Read more. (A subscription may be required.)