About the Author
Andrew Wen-Chuan Lo (born 1960) is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics. He founded AlphaSimplex Group in 1999 and served as chairman and chief investment strategist until 2018 when he transitioned to his current role as chairman emeritus and senior advisor.
Lo is a professor of finance at the MIT Sloan School of Management, the director of MIT’s Laboratory for Financial Engineering, a principal investigator at MIT’s Computer Science and Artificial Intelligence Laboratory, an affiliated faculty of the MIT Department of Electrical Engineering and Computer Science, an external faculty member of the Santa Fe Institute, and a research associate of the National Bureau of Economic Research. He previously taught at the University of Pennsylvania’s Wharton School from 1984 to 1988.
He is the founder of AlphaSimplex Group, a quantitative investment management company based in Cambridge, Massachusetts, and served as its chairman and chief investment strategist until 2018 when he transitioned to his current role as chairman emeritus and senior advisor. AlphaSimplex specializes in quantitative global macro and global tactical asset allocation strategies, beta-replication products, and absolute-return risk analytics.
Lo presented a paper in 2004 at a National Bureau of Economic Research conference, warning of “the rising systematic risk to financial markets and particularly focused on the potential liquidity, leverage and counterparty risk from hedge funds. He testified in 2008 before the Committee on Oversight and Government Reform and the Committee on Financial Services of the U.S. House of Representatives on Hedge Funds, Systemic Risk, and the Financial Crisis of 2007–2008. With Lars Peter Hansen, Lo co-directed the Macro Financial Modeling project at the Becker Friedman Institute, a network of macroeconomists working to develop improved models of the linkages between the financial and real sectors of the economy in the wake of the 2008 financial crisis.
Lo was a founding co-editor of the Annual Review of Financial Economics, serving from 2009 to 2021. and advisor to the Journal of Investment Management and The Journal of Portfolio Management. He is also a director of Roivant Sciences.
- Adaptive Markets: Financial Evolution at the Speed of Thought.
- Dynamics of the Hedge Fund Industry.
- Hedge Funds: An Analytic Perspective.
- International Library of Financial Econometrics.
- A Non-Random Walk Down Wall Street.
- The Econometrics of Financial Markets.
- Market Efficiency: Stock Market Behaviour In Theory and Practice.
- The Industrial Organization and Regulation of the Securities Industry.
- The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis.