About the Authors
- Dimitrios Bisias
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Contributed equally to this work with: Dimitrios Bisias, Andrew W. Lo, James F. Watkins
Affiliation Sloan School of Management, Massachusetts Institute of Technology, Cambridge, Massachusetts, United States of America
- Andrew W. Lo
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Contributed equally to this work with: Dimitrios Bisias, Andrew W. Lo, James F. Watkins
* E-mail: alo@mit.edu
Affiliations Sloan School of Management, Massachusetts Institute of Technology, Cambridge, Massachusetts, United States of America, Computer Science and Artificial Intelligence Laboratory and Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, Cambridge, Massachusetts, United States of America, AlphaSimplex Group, LLC, Cambridge, Massachusetts, United States of America
- James F. Watkins
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Contributed equally to this work with: Dimitrios Bisias, Andrew W. Lo, James F. Watkins
Affiliation Department of Surgery, Brigham and Women’s Hospital and Harvard Medical School, Boston, Massachusetts, United States of America
Competing Interests
The authors have read the journal’s policy and have the following conflicts: the Massachusetts Institute of Technology Laboratory for Financial Engineering receives research grants from Citigroup and Bank of America and while the funds weren’t specifically designated for this study, a portion of those funds were contributed to a general pool that was directed to support a variety of faculty and student research projects, of which this study was one. AWL has the following declarations: (1) chairman, chief investment strategist, AlphaSimplex Group LLC (an asset management firm); (2) consultant, United States Treasury (Office of Financial Research); (3) member, Financial Advisory Roundtable, Federal Reserve Bank of New York; (4) member, Economic Advisory Committee, FINRA; (5) member, Academic Advisory and Research Committee, Moody’s; (6) member, Board of Trustees, Beth Israel Deaconess Medical Center; (7) research associate, National Bureau of Economic Research; (8) Research grant from the National Science Foundation on systemic risk; (9) Patent pending on cryptographic methods for computing systemic risk; (10) Patent awarded (U.S. Patent No. 7,599,876 October 6, 2009) “Electronic Market-Maker”; (11) Patent awarded (U.S. Patent No. 7,562,042 July 14, 2009) “Data Processor for Implementing Forecasting Algorithms”. There are no further patents, products in development or marketed products to declare. This does not alter the authors’ adherence to all the PLoS ONE policies on sharing data and materials, as detailed online in the guide for authors.
Author Contributions
Conceived and designed the experiments: DB AWL JFW. Performed the experiments: DB JFW. Analyzed the data: DB AWL JFW. Contributed reagents/materials/analysis tools: DB AWL JFW. Wrote the paper: DB AWL JFW. Jointly posed the problem: AWL JFW. Provided the portfolio optimization framework: AWL DB. Provided medical expertise: JFW. Provided overall coordination for the project: AWL. Collected the raw NIH and YLL data: JFW. Jointly cleaned and processed the data: JFW DB. Reviewed the data: AWL JFW DB. Performed all computations under the supervision of AWL and JFW: DB. Discussed the results and implications and contributed original ideas to the project: AWL JFW DB. Prepared the final draft of the manuscript with contributions and editorial feedback from DB and JFW: AWL.