Episode description

Hi everyone. We’re taking the week off for the 4th of July holiday, but we wanted to use this week’s episode to honor Nobel Prize-winning economist Harry Markowitz, who recently passed away at the age of 95. Professor Markowitz is a giant of finance, someone who put diversification and Modern Portfolio Theory on the map, with his research transforming the way we allocate and invest our assets. While we didn’t have the opportunity to interview Professor Markowitz for the podcast, we were able to chat recently with someone who had interviewed him: author and financial researcher Dr. Andrew Lo. Dr. Lo recently published a book titled “In Pursuit of the Perfect Portfolio,” in which he profiled some of the leading figures in academic research and finance. None stood taller than Professor Markowitz, whom Dr. Lo discusses at length in this interview we aired in February of 2022. We think you’ll enjoy it. Thanks so much for listening and see you in a week. Have a happy holiday.

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

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.

William F. Sharpe

"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

"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.

Charles D. Ellis

"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.