Details about Robert C. Merton

E-mail:
Homepage:	http://www.people.hbs.edu/rmerton/
Workplace:	Finance Unit, Harvard Business School, Harvard University, (more information at EDIRC)

Access statistics for papers by Robert C. Merton.

Last updated 2008-09-14. Update your information in the RePEc Author Service.

Short-id: pme203

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Working Papers

2007

1. New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

2. A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2004

3. Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
   NBER Working Papers, National Bureau of Economic Research, Inc
   See Also Journal Article in Journal of Financial Economics (2006)
4. The Design of Financial Systems: Towards a Synthesis of Function and Structure
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2003

5. Transparency, Risk Management and International Financial Fragility
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

1995

6. Financial Innovation and the Management and Regulation of Financial Institutions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Banking & Finance (1995)

1992

7. Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Economic Dynamics and Control (1992)

1991

8. Optimal Investment Strategies for University Endowment Funds
   NBER Working Papers, National Bureau of Economic Research, Inc

1987

9. A simple model of capital market equilibrium with incomplete information
   Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
   See Also Journal Article in Journal of Finance (1987)

1986

10. Capital market theory and the pricing of financial securities
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
    See Also Chapter (1990)
11. Dividend Behavior for the Aggregate Stock Market
    Research Program in Finance Working Papers, University of California at Berkeley View citations
    See Also Journal Article in Journal of Business (1987)

1985

12. Defined Benefit versus Defined Contribution Pension Plans: What are theReal Tradeoffs?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
13. Macroeconomics and Finance: The Role of the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1984)
14. On the current state of the stock market rationality hypothesis
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations

1984

15. Dividend variability and variance bounds tests for the rationality of stock market prices
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
    See Also Journal Article in American Economic Review (1986)
16. Earnings variablility and variance bounds tests for the rationality of stock market prices
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
17. Pension Plan Integration as Insurance Against Social Security Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1982

18. On Consumption-Indexed Public Pension Plans
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1981

19. On Estimating the Expected Return on the Market: An Exploratory Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in Journal of Financial Economics (1980)
20. On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1977

21. On the cost of deposit insurance when there are surveillance costs
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
    See Also Journal Article in Journal of Business (1978)
22. On the microeconomic theory of investment under uncertainty
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
    See Also Chapter (1993)

1976

23. Continuous-time portfolio theory and the pricing of contingent claims
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management

1975

24. Option pricing when underlying stock returns are discontinuous
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
    See Also Journal Article in Journal of Financial Economics (1976)

1973

25. An asymptotic theory of growth under uncertainty
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
    See Also Journal Article in Review of Economic Studies (1975)
26. On the pricing of corporate debt: the risk structure of interest rates
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations
    See Also Journal Article in Journal of Finance (1974)

1970

27. Optimum Consumption and Portfolio Rules in a Continuous-time Model
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations
    See Also Journal Article in Journal of Economic Theory (1971)

Journal Articles

2006

1. Do a firm's equity returns reflect the risk of its pension plan?
   Journal of Financial Economics, 2006, 81, (1), 1-26
   See Also Working Paper (2004)

2002

2. International pension swaps
   Journal of Pension Economics and Finance, 2002, 1, (01), 77-83 View citations

2000

3. Speeches by Nobel Laureates
   Financial Management, 2000, 29, (3)

1998

4. Applications of Option-Pricing Theory: Twenty-Five Years Later
   American Economic Review, 1998, 88, (3), 323-49 View citations

1995

5. A Functional Perspective of Financial Intermediation
   Financial Management, 1995, 24, (2) View citations
6. Financial innovation and the management and regulation of financial institutions
   Journal of Banking & Finance, 1995, 19, (3-4), 461-481 View citations
   See Also Working Paper (1995)

1993

7. Deposit insurance reform: a functional approach
   Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 1-34 View citations
8. Reply to Benston and Kaufman
   Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 51-55

1992

9. Labor supply flexibility and portfolio choice in a life cycle model
   Journal of Economic Dynamics and Control, 1992, 16, (3-4), 427-449 View citations
   See Also Working Paper (1992)
10. On the Management of Financial Guarantees
    Financial Management, 1992, 21, (4) View citations

1987

11. A Simple Model of Capital Market Equilibrium with Incomplete Information
    Journal of Finance, 1987, 42, (3), 483-510 View citations
    See Also Working Paper (1987)
12. Dividend Behavior for the Aggregate Stock Market
    Journal of Business, 1987, 60, (1), 1-40 View citations
    See Also Working Paper (1986)
13. In Honor of Nobel Laureate, Franco Modigliani
    Journal of Economic Perspectives, 1987, 1, (2), 145-55

1986

14. Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices
    American Economic Review, 1986, 76, (3), 483-98 View citations
    See Also Working Paper (1984)

1984

15. Macroeconomics and finance: The role of the stock market
    Carnegie-Rochester Conference Series on Public Policy, 1984, 21, (1), 57-108 View citations
    See Also Working Paper (1985)

1982

16. The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
    Journal of Business, 1982, 55, (1), 1-55 View citations

1981

17. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts
    Journal of Business, 1981, 54, (3), 363-406 View citations
18. On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
    Journal of Business, 1981, 54, (4), 513-33 View citations

1980

19. On estimating the expected return on the market: An exploratory investigation
    Journal of Financial Economics, 1980, 8, (4), 323-361 View citations
    See Also Working Paper (1981)

1978

20. On the Cost of Deposit Insurance When There Are Surveillance Costs
    Journal of Business, 1978, 51, (3), 439-52 View citations
    See Also Working Paper (1977)
21. The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
    Journal of Business, 1978, 51, (2), 183-242 View citations

1977

22. An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory
    Journal of Banking & Finance, 1977, 1, (1), 3-11 View citations
23. On the pricing of contingent claims and the Modigliani-Miller theorem
    Journal of Financial Economics, 1977, 5, (2), 241-249 View citations

1976

24. Option pricing when underlying stock returns are discontinuous
    Journal of Financial Economics, 1976, 3, (1-2), 125-144 View citations
    See Also Working Paper (1975)
25. The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns
    Journal of Finance, 1976, 31, (2), 333-50 View citations

1975

26. An Asymptotic Theory of Growth under Uncertainty
    Review of Economic Studies, 1975, 42, (3), 375-93 View citations
    See Also Working Paper (1973)

1974

27. Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
    Journal of Financial Economics, 1974, 1, (1), 67-94 View citations
28. Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions
    Journal of Finance, 1974, 29, (1), 27-40
29. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
    Journal of Finance, 1974, 29, (2), 449-70 View citations
    See Also Working Paper (1973)
30. The Optimality of a Competitive Stock Market
    Bell Journal of Economics, 1974, 5, (1), 145-170 View citations

1973

31. An Intertemporal Capital Asset Pricing Model
    Econometrica, 1973, 41, (5), 867-87 View citations
32. The Relationship Between Put and Call Option Prices: Comment
    Journal of Finance, 1973, 28, (1), 183-84 View citations
33. Theory of Rational Option Pricing
    Bell Journal of Economics, 1973, 4, (1), 141-183 View citations

1971

34. Optimum consumption and portfolio rules in a continuous-time model
    Journal of Economic Theory, 1971, 3, (4), 373-413 View citations
    See Also Working Paper (1970)

1969

35. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
    The Review of Economics and Statistics, 1969, 51, (3), 247-57 View citations

Chapters

1993

1. On the microeconomic theory of investment under uncertainty
   Chapter 13 in Handbook of Mathematical Economics, 1993, vol. 2, pp 601-669
   See Also Working Paper (1977)

1990

2. Capital market theory and the pricing of financial securities
   Chapter 11 in Handbook of Monetary Economics, 1990, vol. 1, pp 497-581
   See Also Working Paper (1986)