The Investor's Shelf — one person
Andrew W. Lo
Charles E. and Susan T. Harris Professor, MIT Sloan School of Management; Director, MIT Laboratory for Financial Engineering; founder of AlphaSimplex Group
The Econometrics of Financial Markets and the variance-ratio work with MacKinlay are primary sources the field builds on, and the Adaptive Markets Hypothesis is a named framework in its own right.
9 books of their own · 24 articles
Books they wrote 9
John Y. Campbell, A. Craig MacKinlay · 1997 · Princeton University Press. Open Library API unreachable this pass.
A. Craig MacKinlay · 1999 · Princeton University Press. Open Library API unreachable this pass.
· 2008 · Princeton University Press; revised edition 2010.
Jasmina Hasanhodzic · 2009 · Bloomberg Press. Open Library API unreachable this pass.
Jasmina Hasanhodzic · 2010 · Bloomberg Press. Open Library API unreachable this pass.
· 2017 · Princeton University Press. Open Library API unreachable this pass.
Stephen R. Foerster · 2021 · Princeton University Press. Open Library API unreachable this pass.
Shomesh E. Chaudhuri · 2024 · Princeton University Press. Listed on Lo's MIT books page.
The Adaptive Markets Hypothesis: An Evolutionary Approach to Understanding Financial System Dynamics
Ruixun Zhang · 2024 · Oxford University Press. Formal exposition of the hypothesis.
Letters
Lo is an MIT professor and co-founder of AlphaSimplex, which sends letters to fund shareholders through its funds' SEC filings rather than publishing a personal letter archive. His complete publication list, with links to each paper, is at alo.mit.edu/publications/.
Research papers 10
- Criteria for the Economic Viability of Fusion Power PlantsWorking paper (arXiv), 2026
- A Father's Crusade in Rare Disease Drug Development: Elpida Therapeutics and MelpidaOrphanet Journal of Rare Diseases, 2025
- Applications of Portfolio Theory to Accelerating Biomedical InnovationJournal of Portfolio Management, 2024
- What Is an Index?The Journal of Portfolio Management, 2016
- Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets HypothesisJournal of Investment Consulting, 2005
- The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary PerspectiveThe Journal of Portfolio Management, 2004
- The Statistics of Sharpe RatiosFinancial Analysts Journal, 2002
- Risk Management for Hedge Funds: Introduction and OverviewFinancial Analysts Journal, 2001
- Long-Term Memory in Stock Market PricesEconometrica, 1991
- Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification TestThe Review of Financial Studies, 1988
Articles and essays 14
- Genetic Targets, Financial Creativity: BridgeBio's Model for Sustainable Drug DevelopmentDrug Discovery Today, 2026
- Optimal Financing Design for Drug Development FirmsResearch Policy, 2026
- Estimating Correlations Between Clinical Trial Outcomes Using Generalized Estimating EquationsOxford Bulletin of Economics and Statistics, 2025
- Use of Bayesian Decision Analysis in the Design of Patient-Centered Clinical Trials for Kidney Failure DevicesComputers in Biology and Medicine, 2025
- AutoCT: Automating Interpretable Clinical Trial Prediction with LLM AgentsEMNLP 2025, 2025
- Financing Drug Development via Adaptive Platform TrialsPLoS ONE, 2025
- Predicting Clinical Trial Duration via Statistical and Machine Learning ModelsContemporary Clinical Trials Communications, 2025
- The Evolution of Discrimination Under Finite Memory ConstraintsScientific Reports, 2025
- Innovative Insurance to Improve US Patient Access to Cell and Gene TherapyThe Milbank Quarterly, 2025
- What Can Fusion Energy Learn From Biotechnology?Issues in Science and Technology, 2024
- LLM economicus? Mapping the Behavioral Biases of LLMs via Utility TheoryCOLM 2024, 2024
- Performance Attribution for Portfolio ConstraintsManagement Science, 2024
- Commercializing Biomedical Research Through Securitization TechniquesNature Biotechnology, 2012
- Complete publications listMIT (alo.mit.edu)