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Professors Andrew W. Lo and Archie Craig MacKinlay, professors of Finance at the MIT Sloan School of Management and the University of Pennsylvania, respectively, have also presented evidence that they believe shows the random walk hypothesis to be wrong.
Andrew Wen-Chuan Lo (Chinese: 羅聞全; born 1960) is a Hong Kong-born Taiwanese-American economist and academic who 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. [3]
The adaptive market hypothesis, as proposed by Andrew Lo, [1] is an attempt to reconcile economic theories based on the efficient market hypothesis (which implies that markets are efficient) with behavioral economics, by applying the principles of evolution to financial interactions: competition, adaptation, and natural selection. [2]
As a type of active management, it stands in contradiction to much of modern portfolio theory. The efficacy of technical analysis is disputed by the efficient-market hypothesis , which states that stock market prices are essentially unpredictable, [ 2 ] and research on whether technical analysis offers any benefit has produced mixed results.
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arbitrage pricing theory; asset price dynamics [3] optimal asset allocation; cointegration; event study; nonlinear financial models such as autoregressive conditional heteroskedasticity [4] realized variance; fund performance analysis such as returns-based style analysis; tests of the random walk hypothesis; the capital asset pricing model
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