Episode Details

Our guest this week is Dr. Andrew Lo. Dr. Lo is the Charles E. & Susan T. Harris Professor, a professor of finance, and the director of the Laboratory for Financial Engineering at the MIT Sloan School of Management. His current research spans five areas, including evolutionary models of investor behavior and adaptive markets, systemic risk, and financial regulation, among others. Dr. Lo has published extensively in academic journals and authored a number of books including In Pursuit of the Perfect Portfolio, which he cowrote with Stephen Foerster. He has received numerous awards for his work and contributions to modern finance research throughout his career. He holds a bachelor's in economics from Yale University and an AM and Ph.D. in economics from Harvard University.

Background

Bio

In Pursuit of the Perfect Portfolio: The Stories, Voices, and Key Insights of the Pioneers Who Shaped the Way We Invest, by Andrew W. Lo and Stephen R. Foerster

Adaptive Markets: Financial Evolution at the Speed of Thought, by Andrew W. Lo

History

“Thirty Maidens of Geneva,” the Tontine Coffee-House, thetch.blog.com, Aug. 5, 2019.

“Why 18th Century Swiss Bankers Bet on the Lives of Young Girls,” by Stephen Foerster, sfoerster-5338.medium.com, Sept. 2, 2021.

John Maynard Keynes

Benjamin Graham

Harry Markowitz

Harry Markowitz

Modern Portfolio Theory

What Is a Gunslinger?

William F. Sharpe

William F. Sharpe

What Is the Sharpe Ratio?

Capital Asset Pricing Model (CAPM)

“Keynes the Stock Market Investor: A Quantitative Analysis,” by David Chambers, Elroy Dimson, and Justin Foo, papers.ssrn.com, Sept. 26, 2013.

Eugene F. Fama

Eugene Fama

What Is the Efficient Market Hypothesis?

“Algorithmic Models of Investor Behavior,” by Andrew Lo and Alexander Remorov, eqderivatives.com, 2021.

“In Pursuit of the Perfect Portfolio: Eugene Fama,” Interview with Andrew Lo and Eugene Fama, youtube.com, Dec. 15, 2016.

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