Questioning long-held claims is a logical
preoccupation for Kellogg Professor Alvaro Sandroni
While other kids were cavorting in the warm Brazilian
night, Alvaro Sandroni spent hours gazing at the sky, pondering
the universe: Was it finite? How had it begun? Did it even
have a beginning?
Since the age of 7, I’ve had these kinds of metaphysical
anxieties,” reveals the soft-spoken Mechthild Esser
Nemmers Professor of Managerial Economics and Decision
Sciences at the Kellogg School. “As I got older,
I switched to questions about society, questions people
wonder about, but in my case can’t stop thinking
Specifically, Sandroni’s thoughts often drift to
examining the internal logic of widely held claims and “setting
the logic straight.”
Because I’m always thinking, I’m always unsatisfied,” says
the self-admitted “absentminded professor.” “I’m
frustrated because I can’t crack that problem or
that problem or that problem.”
One of the problems Sandroni did crack
earned him the 2003 Stanley Reiter Best Paper Award.
Kellogg colleague, who is the Charles E. and Emma
of Managerial Economics and Decision Sciences,
the award is given to a Kellogg faculty member who has
a paper judged “best” within the preceding four
calendar years. A panel of Kellogg School professors from
various disciplines selects the winner, which adds to the
Sandroni’s paper, “Do Markets Favor Agents
Able to Make Accurate Predictions?” tests
a long-held theory and affirms it through exhaustive
He says that for years no one questioned
the logic behind the 40-year-old claim, first set
Milton Friedman, that markets favor agents
who make accurate predictions. Then about 10 years
ago a number
Sandroni included, began attacking the claim,
saying it lacked theoretical support.
While in the process of disputing Friedman’s claim,
Sandroni wound up doing the opposite: defending its logic
by devising a methodologically foolproof model of support.
Sandroni said he went from offense to defense when he realized
that the theories that skeptics constructed to disprove
Friedman didn’t hold up. But the claim
did hold up when Sandroni improved its method
Always one to challenge the status quo,
Sandroni has moved on to examine the logic behind
says the market is capable of eliminating
unfair discrimination without being regulated.
his background in economics
(a PhD in 1996 from the University of Pennsylvania)
and mathematics (a PhD in 1994 from the
Instituto de Matematica
Pura e Aplicada in his native Rio de Janeiro),
Sandroni is going up against a claim that
has been accepted
for 50 years.
There has been some debate on this one, but no serious
analyzing,” he says.
As an economist and mathematician, Sandroni
is concerned about the correct use
of statistics. Not just concerned,
but actively involved: He’s currently writing a book
on how to use statistical data (with Peter Klibanoff, Kellogg
School associate professor of Managerial Economics and
Decision Sciences, and Boaz Moselle, formerly assistant
Kellogg professor in Managerial Economics, now managing
director at the United Kingdom’s
Office of Gas and Electricity Markets).
When he isn’t writing, teaching or thinking “productively,” Sandroni
takes walks and goes biking — activities “to
help the mind wander.” His wife, Yejia Zhang, a physician
and researcher at Rush University, often goes biking with
She understands that I need time to contemplate,” Sandroni
says. The couple have a son, Alec, who is almost 2.
Seeing the mystery of seemingly straightforward ideas” is
the most interesting part of his “strictly academic
exercise,” Sandroni explains.
It’s a solitary line of work, but I could do it for
About Professor Sandroni
Prof. Sandroni is an economist and mathematician whose
research interests include learning theory and asset pricing.
The winner of the 2003 Stanley Reiter Best Paper Award,
Sandroni teaches microeconomics at the Kellogg School.
Representative publications include: “Do Markets
Favor Agents Able to Make Accurate Predictions?” Econometrica
(2000), vol. 68, no. 6, 1303-1341; “On the Convergence
to Rational Expectations Under Complete Markets” (with
Aloisio Araujo), Econometrica (1999), vol. 67, no. 3, 663-672; “Learning,
Rare Events and Recurrent Market Crashes in Frictionless
Economies Without Intrinsic Uncertainty,” Journal
of Economic Theory (1998), vol. 82, no. 1, 1-18; “Does
Rational Learning Lead to Nash Equilibrium in Finitely
Repeated Games,” Journal of Economic Theory (1998)
vol. 78, no. 1, 195-218.