Andrew Lo

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Andrew Lo
AndrewLo.PNG
Nationality China
Occupation Academic
Investment strategist
Awards Guggenheim fellowship
James R. Vertin Award
Website Home page
Academic background
Alma mater Harvard University
Academic work
Discipline Financial economics
Institutions Massachusetts Institute of Technology
AlphaSimplex Group, LLC.
Main interests Investments and financial markets
Hedge funds
Models of individual risk preferences

Andrew Lo is the Harris & Harris Group Professor Director, MIT Laboratory for Financial Engineering. Lo's research is focused on the fundamental aspects of investments and financial markets, including measuring illiquidity risk in hedge fund returns, the growth of systemic risk in the hedge-fund industry, and most recently, evolutionary and neurobiological models of individual risk preferences and financial markets. [1]

Lo is the Chairman and Chief Investment Strategist of AlphaSimplex Group, LLC. The firm, founded in 1999, is a privately owned hedge fund sponsor, and also manages mutual funds.[2]

Papers

Lo is the winner of a 2002 Graham and Dodd Scroll Award[3] for his paper, The Statistics of Sharpe Ratios.[4]

He is the author/coauthor of the following most cited works, listed from most to least cited.

Year Study
1987 Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test[5]
1989 When are Contrarian Profits Due to Stock Market Overreaction?[6]
1989 Data-Snooping Biases in Tests of Financial Asset Pricing Models[7]
2003 An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns[8]
2000 Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory[9]
1995 Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices[10]
1989 An Econometric Analysis of Nonsynchronous Trading[11]
1989 Long-Term Memory in Stock Market Prices[12]
2000 Nonparametric Risk Management and Implied Risk Aversion[13]
2005 Systemic Risk and Hedge Funds[14]
1991 An Ordered Probit Analysis of Transaction Stock Prices[15]
2001 Risk Management for Hedge Funds: Introduction and Overview[16]
2001 Asset Prices and Trading Volume Under Fixed Transactions Costs[17]
2004 The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective[18]

Awards

In 2002 Lo was awarded a Guggenheim fellowship.[19] In 2005 Lo received the James R. Vertin Award in recognition of his having produced a body of research notable for its relevance and enduring value to investment professionals.[20]

Books

Lo received a 1997 Paul A. Samuelson Award[21] as coauthor of the book, The Econometrics of Financial Markets. Lo is the author/coauthor of seven books, and has edited one book.

  • Andrew Lo (1995). The Industrial Organization and Regulation of the Securities Industry. Chicago, Illinois: The University of Chicago Press. pp. 386. ISBN 978-0226488479.
  • Andrew Lo,(ed.) (1997). Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I & II. Cheltenham, UK: Edward Elgar Publishing Ltd. pp. 1124. ISBN 978-1858981611.
  • Andrew Lo (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press. pp. 632. ISBN 978-0691043012.
  • Andrew Lo (2008). Hedge Funds: An Analytic Perspective. Princeton, NJ: Princeton University Press. pp. 376. ISBN 978-0691132945.
  • Andrew Lo; Jasmina Hasanhodzic (2009). The Heretics of Finance. New York, NY: Bloomberg Press. pp. 331. ISBN 978-1576603161.
  • Andrew Lo; Jasmina Hasanhodzic (2010). The Evolution of Technical Analysis. Hoboken, NJ: John Wiley & Sons, Inc. pp. 212. ISBN 978-1576603499.
  • Andrew Lo; Alan S. Blinder; Robert M. Solow (2012). Rethinking the Financial Crisis. New York, NY: Russell Sage Foundation and The Century Foundation. pp. 374. ISBN 978-087154-810-8.
  • Andrew Lo; Joseph G. Haubrich (2013). Quantifying Systemic Risk. Chicago, Illinois: The University of Chicago Press. pp. 400. ISBN 978-0226319285.

References

  1. ↑ "Interview with Andrew W. Lo". Yale School of Management. June 4, 2004. http://som.yale.edu/interview-andrew-w-lo. Retrieved February 26, 2016.
  2. ↑ "Company Overview of AlphaSimplex Group, LLC". Bloomberg. http://www.bloomberg.com/research/stocks/private/snapshot.asp?privcapId=28093195. Retrieved February 26, 2016.
  3. ↑ "Graham and Dodd Award Winners". http://www.cfapubs.org/page/faj/all-graham-dodd-winners. Retrieved December 14, 2015.
  4. ↑ Lo, Andrew W. (July/August 2002). The Statistics of Sharpe Ratios. Financial Analysts Journal Volume 58 (4). http://edge-fund.com/Lo02.pdf.
  5. ↑ Lo, Andrew W.; Mackinlay, A. Craig NBER Working Paper No. w2168 Lo, Andrew W. Mackinlay, A. Craig (February 1987). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. NBER Working Paper No. w2168: SSRN. http://ssrn.com/abstract=346975.
  6. ↑ Lo, Andrew W.; Mackinlay, A. Craig (May 1989). When are Contrarian Profits Due to Stock Market Overreaction?. NBER Working Paper No. w2977: SSRN. http://ssrn.com/abstract=227214.
  7. ↑ Lo, Andrew W.; Mackinlay, A. Craig (June 1989). Data-Snooping Biases in Tests of Financial Asset Pricing Models. NBER Working Paper No. w3001: SSRN. http://ssrn.com/abstract=227465.
  8. ↑ Getmansky, Mila; Lo, Andrew; W. Makarov, Igor (March 2003). An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. NBER Working Paper No. w9571: SSRN. http://ssrn.com/abstract=387578.
  9. ↑ Lo, Andrew W.; Wang, Jiang (March 2000). Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory. NBER Working Paper No. w7625: SSRN. http://ssrn.com/abstract=228104.
  10. ↑ Ait-Sahalia, Yacine; Lo, Andrew W. (November 1995). Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. NBER Working Paper No. w5351: SSRN. http://ssrn.com/abstract=225414.
  11. ↑ Lo, Andrew W.; Mackinlay, A. Craig (May 1989). An Econometric Analysis of Nonsynchronous Trading. NBER Working Paper No. w2960: SSRN. http://ssrn.com/abstract=461392.
  12. ↑ Lo, Andrew W. (May 1989). Long-Term Memory in Stock Market Prices. NBER Working Paper No. w2984: SSRN. http://ssrn.com/abstract=463442.
  13. ↑ Ait-Sahalia, Yacine; Lo, Andrew W. (March 2000). Nonparametric Risk Management and Implied Risk Aversion. NBER Working Paper No. w6130: SSRN. http://ssrn.com/abstract=225895.
  14. ↑ Chan, Nicholas T.; Getmansky, Mila; Haas, Shane M.; Lo, Andrew W. (March 2005). Systemic Risk and Hedge Funds. NBER Working Paper No. w1120: SSRN. http://ssrn.com/abstract=689381.
  15. ↑ Hausman, Jerry A.; Lo, Andrew W.; Mackinlay, A. Craig (October 1991). An Ordered Probit Analysis of Transaction Stock Prices. NBER Working Paper No. w3888: SSRN.
  16. ↑ Lo, Andrew W. (June 2001). Risk Management for Hedge Funds: Introduction and Overview. SSRN. http://ssrn.com/abstract=283308.
  17. ↑ Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang (May 2001). Asset Prices and Trading Volume Under Fixed Transactions Costs. NBER Working Paper No. w8311: SSRN. http://ssrn.com/abstract=272116.
  18. ↑ Lo, Andrew W. (2004). The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management, Forthcoming: SSRN. http://ssrn.com/abstract=602222.
  19. ↑ "Awards and honors". MIT news. http://news.mit.edu/2002/aandh-0508. Retrieved February 26,2016.
  20. ↑ "James R. Vertin Award". CFA Institute. https://www.cfainstitute.org/learning/foundation/Pages/vertin_award.aspx. Retrieved January 4,1916.
  21. ↑ "1997 TIAA Paul A. Samuelson Award Winners". TIAA-Institute. https://www.tiaainstitute.org/public/institute/awards/samuelson/samuelson_archive/1997_samuelson_award.html. Retrieved February 26, 2016.

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