Andre Perold

André Perold is a Founder, Managing Partner, and Chief Investment Officer of HighVista Strategies, a Boston-based investment firm. HighVista employs an approach based on broad diversification and risk management across global asset classes and alternative strategies. Perold is also the George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School, where he had a distinguished career over more than three decades before assuming his current role at HighVista in mid-2011. He had previously served as Chairman of HighVista’s Investment Committee while he was still at Harvard.

Perold is the author and co-author of numerous articles, cases, and two books, all relating to investment management, capital markets, and the financial system. At Harvard Business School, he developed popular courses in Investment Management and Capital Markets, including a recent course focused on investing in real assets. Perold has received numerous awards for teaching excellence, and he was voted the School’s most outstanding professor in a Business Week student survey. He also served in senior roles at Harvard Business School, including as a Senior Associate Dean and Chair of the Finance Faculty.

In addition to his work at Harvard and HighVista, Perold has served as a director, trustee and advisory board member of a variety of not-for-profit and other organizations. He is presently a director of The Vanguard Group and Rand Merchant Bank, an Overseer of the Museum of Fine Arts Boston, and a member of the Investment Committee of the Partners Healthcare. He also serves on a number of advisory boards, including the Advisory Council of the Financial Analysts Journal. Perold received his Bachelor's degree from the University of the Witwatersrand, Johannesburg, and his Masters and Ph.D. degrees from Stanford University.

Publications

Mason, Scott P., Robert C. Merton, André Perold, and Peter Tufano. Teacher's Manual for Cases in Financial Engineering: Applied Studies of Financial Innovation. Prentice Hall, 1996.

Crane, D. B., K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. The Global Financial System: A Functional Perspective. Boston: Harvard Business School Press, 1995.

Mason, Scott P., Robert C. Merton, André Perold, and Peter Tufano. Cases in Financial Engineering: Applied Studies of Financial Innovation. Englewood Cliffs: Prentice Hall, 1995.

Journal Articles

Perold, Andre F. "Risk Is a Choice Rather Than a Fate." Journal of Portfolio Management 36, no. 1 (Fall 2009). (Invited Editorial Comment.) View Details Perold, Andre F. "Fundamentally Flawed Indexing." Financial Analysts Journal 63, no. 6 (November–December 2007). (.)

Perold, André. "Capital Allocation in Financial Firms." Journal of Applied Corporate Finance 17, no. 3 (summer 2005).

Perold, André. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (Summer 2004): 3–24.

Froot, Kenneth A., and André Perold. "New Trading Practices and Short-Run Market Efficiency." Journal of Futures Markets 15, no. 7 (October 1995): 731–766. (Revised from NBER Working Paper No. 3498, October 1990.)

Perold, André, and James F. Gammill. "The Changing Character of Stock Market Liquidity." Shōken [Securities] 45, no. 536 (November 1993): 67–74.

Merton, Robert C., and André Perold. "Theory of Risk Capital in Financial Firms." Continental Bank Journal of Applied Corporate Finance 6, no. 3 (fall 1993): 16–32.

Perold, André, and Fischer Black. "Theory of Constant Proportion Portfolio Insurance." Journal of Economic Dynamics & Control 16, nos. 3-4 (July–October 1992): 403–426.

Froot, Kenneth A., André Perold, and J. Stein. "Shareholder Trading Practices and Corporate Investment Horizons." Continental Bank Journal of Applied Corporate Finance 5, no. 2 (summer 1992): 42–58.

Perold, André, and Robert S. Salomon Jr. "The Right Amount of Assets under Management." Financial Analysts Journal 47, no. 2 (May–June 1991): 31–39.

Perold, André, Kenneth A. Froot, and James F. Gammill Jr. "New Trading Practices and the Short-run Predictability of the S&P 500." Market Volatility and Investor Confidence: Report to the Board of Directors of the New York Stock Exchange, Inc. (June 7, 1990): G1: 1–27.

Perold, André, and Jay O. Light. "The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making." Tōshi kōgaku [Investment technology] 2 (1990): 63–96. View Details Perold, André, and James F. Gammill. "The Changing Character of Stock Market Liquidity." Journal of Portfolio Management (spring 1989): 13–18.

Perold, André, and Evan C. Schulman. "The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards." Financial Analysts Journal 44, no. 3 (May–June 1988).

Perold, André. "The Implementation Shortfall: Paper vs. Reality." Journal of Portfolio Management 14, no. 3 (spring 1988): 4–9.

Perold, André, and William F. Sharpe. "Dynamic Strategies for Asset Allocation." Financial Analysts Journal 44, no. 1 (January–February 1988): 16–27.

Perold, André. "Large-Scale Portfolio Optimization." Management Science 30, no. 10 (October 1984): 1143–1160.

Perold, André, and R. Meidan. "Optimality Conditions and Strong Duality in Abstract and Continuous Time Linear Programming." Journal of Optimization Theory and Applications 40, no. 1 (May 1983): 61–76.

Perold, André, E. J. Anderson, and P. Nash. "Some Properties of a Class of Continuous Linear Programs." SIAM Journal on Control and Optimization 21, no. 5 (1983): 758–765.

Perold, André, and Harry M. Markowitz. "Portfolio Analysis with Factors and Scenarios." Journal of Finance 36, no. 4 (September 1981): 871–877.

Perold, André. "Extreme Points and Basic Feasible Solutions in Continuous Time Linear Programming." SIAM Journal on Control and Optimization 19, no. 1 (1981): 52–63.

Perold, André. "A Degeneracy Exploiting LU Factorization for the Simplex Method." Mathematical Programming 19 (December 1980): 239–254.

Perold, André. "A Generalization of the Frank-Wolfe Theorem." Mathematical Programming 18 (December 1980): 215–227.

Perold, André, V. Chvatal, R. L. Graham, and S. Whitesides. "Combinatorial Designs Related to the Strong Perfect Graph Conjecture." Discrete Mathematics 26, no. 2 (1979): 83–92. View Details Perold, André. "An Alternative Model for a Global Analysis of Quadratic Programs in a Finite Number of Steps." Mathematical Programming 15 (December 1978): 105–109.

Perold, André, and G. B. Dantzig. "A Basis Factorization Method for Block Triangular Linear Programs." Sparse Matrix Proceedings (1978).

Perold, André, and D. M. Hawkins. "On the Joint Distribution of Left- and Right-sided Outliner Statistics." Utilitas mathematica 12 (1977): 129–143.