You are here

Andrew Lo

Andrew Lo's picture
CSAIL MIT and Sloan School of Management
Additional Information: : 

Andrew W. Lo is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management and the director of MIT's Laboratory for Financial Engineering. He joined CSAIL as a principal investigator in 2011.  He received his Ph.D. in economics from Harvard University in 1984, his A.B. in economics from Yale University in 1980, and graduated from the Bronx High School of Science in 1977. He began his academic career at the University of Pennsylvania's Wharton School, where he was an assistant and associate professor from 1984 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; computational algorithms and numerical methods; financial visualization; nonlinear models of stock and bond returns; hedge-fund risk and return dynamics; systemic risk and financial regulation; and, most recently, evolutionary, neurobiological, and computational models of individual risk preferences, financial markets, and intelligence.

He has published numerous articles in finance and economics journals, and has authored several books including The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, and Hedge Funds: An Analytic Perspective. He is currently a co-editor of the Annual Review of Financial Economics and an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Computational Finance. He is also a research associate of the National Bureau of Economic Research, a consultant to the Office of Financial Research, a member of FINRA's Economic Advisory Committee, Moody’s Academic Advisory and Research Committee, the New York Fed's Financial Advisory Roundtable, and founder and chief investment strategist of AlphaSimplex Group, LLC, an investment advisory firm based in Cambridge, Massachusetts.

More information