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.
“Why Artificial Intelligence May Not Be as Useful or as Challenging as Artificial Stupidity,” by Andrew Lo, hdsr.mitpress.mit.edu, July 1, 2019.
John C. Bogle
John Bogle
Cost Matters Hypothesis
Charles D. Ellis
Charley Ellis
Greenwich Associates
“Charley Ellis: Why Active Investing Is Still a Loser’s Game,” The Long View podcast, Morningstar.com, May 27, 2020.
Other
“7 Principles to Help You Create Your Perfect Portfolio,” by Robert Powell, marketwatch.com, Nov. 10, 2021.
