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Details about Robert C. Merton

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Homepage:http://mitsloan.mit.edu/faculty/detail.php?in_spseqno=SP000170&co_list=F
Workplace:Sloan School of Management, Massachusetts Institute of Technology (MIT), (more information at EDIRC)

Access statistics for papers by Robert C. Merton.

Last updated 2018-12-07. Update your information in the RePEc Author Service.

Short-id: pme203


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Working Papers

2018

  1. Trust in Lending
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2015

  1. Customers and Investors: A Framework for Understanding Financial Institutions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2010

  1. Systemic Risk and the Refinancing Ratchet Effect
    Harvard Business School Working Papers, Harvard Business School Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (11)

    See also Journal Article in Journal of Financial Economics (2013)

2009

  1. New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (55)

2007

  1. Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads

2006

  1. A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)

2004

  1. Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2006)
  2. Interview with Nobel Prize Laureate Robert C. Merton
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads
  3. The Design of Financial Systems: Towards a Synthesis of Function and Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    See also Chapter (2005)

2003

  1. Transparency, Risk Management and International Financial Fragility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)

1998

  1. Autobiography
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads

1997

  1. Applications of Option-Pricing Theory: Twenty-Five Years Later
    Nobel Prize in Economics documents, Nobel Prize Committee Downloads View citations (4)
    See also Journal Article in American Economic Review (1998)

1995

  1. Financial Innovation and the Management and Regulation of Financial Institutions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (87)
    See also Journal Article in Journal of Banking & Finance (1995)

1992

  1. Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (291)
    See also Journal Article in Journal of Economic Dynamics and Control (1992)

1991

  1. Optimal Investment Strategies for University Endowment Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Chapter (1993)

1987

  1. A simple model of capital market equilibrium with incomplete information
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1109)
    See also Journal Article in Journal of Finance (1987)

1986

  1. Capital market theory and the pricing of financial securities
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads
    See also Chapter (1990)
  2. Dividend Behavior for the Aggregate Stock Market
    Research Program in Finance Working Papers, University of California at Berkeley View citations (3)
    See also Journal Article in The Journal of Business (1987)

1985

  1. Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Chapter (1988)
  2. On the current state of the stock market rationality hypothesis
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (19)

1984

  1. Dividend variability and variance bounds tests for the rationality of stock market prices
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (21)
    See also Journal Article in American Economic Review (1986)
  2. Earnings variablility and variance bounds tests for the rationality of stock market prices
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1)
  3. Macroeconomics and Finance: The Role of the Stock Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1984)
  4. Pension Plan Integration as Insurance Against Social Security Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Chapter (1987)

1982

  1. On Consumption-Indexed Public Pension Plans
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Chapter (1983)

1981

  1. 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 Downloads View citations (30)

1980

  1. On Estimating the Expected Return on the Market: An Exploratory Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (596)
    See also Journal Article in Journal of Financial Economics (1980)

1977

  1. On the cost of deposit insurance when there are surveillance costs
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1)
    See also Journal Article in The Journal of Business (1978)
  2. On the microeconomic theory of investment under uncertainty
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (3)
    See also Chapter (1993)

1976

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

1975

  1. Option pricing when underlying stock returns are discontinuous
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (14)
    See also Journal Article in Journal of Financial Economics (1976)

1973

  1. An asymptotic theory of growth under uncertainty
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads
    See also Journal Article in Review of Economic Studies (1975)
  2. On the pricing of corporate debt: the risk structure of interest rates
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (121)
    See also Journal Article in Journal of Finance (1974)

1970

  1. Optimum Consumption and Portfolio Rules in a Continuous-time Model
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (77)
    See also Journal Article in Journal of Economic Theory (1971)

Journal Articles

2014

  1. ADB's Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management
    Asian Development Review, 2014, 31, (1), 186-210 Downloads View citations (1)

2013

  1. Fischer Black
    Annual Review of Financial Economics, 2013, 5, (1), 9-19 Downloads
  2. Systemic risk and the refinancing ratchet effect
    Journal of Financial Economics, 2013, 108, (1), 29-45 Downloads View citations (18)
    See also Working Paper (2010)

2009

  1. Preface to the Annual Review of Financial Economics
    Annual Review of Financial Economics, 2009, 1, (1), 1-17 Downloads View citations (1)

2006

  1. Allocating Shareholder Capital to Pension Plans
    Journal of Applied Corporate Finance, 2006, 18, (1), 15-24 Downloads View citations (3)
  2. Do a firm's equity returns reflect the risk of its pension plan?
    Journal of Financial Economics, 2006, 81, (1), 1-26 Downloads View citations (16)
    See also Working Paper (2004)
  3. Paul Samuelson and Financial Economics
    The American Economist, 2006, 50, (2), 9-31 Downloads View citations (4)
  4. The Derivatives Sourcebook
    Foundations and Trends(R) in Finance, 2006, 1, (5–6), 365-572 Downloads

2005

  1. A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes
    Journal of Applied Corporate Finance, 2005, 17, (3), 95-101 Downloads

2002

  1. International pension swaps
    Journal of Pension Economics and Finance, 2002, 1, (1), 77-83 Downloads View citations (22)

2000

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

1998

  1. Applications of Option-Pricing Theory: Twenty-Five Years Later
    American Economic Review, 1998, 88, (3), 323-49 Downloads View citations (53)
    See also Working Paper (1997)

1997

  1. A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries
    Review of Finance, 1997, 1, (1), 1-13 Downloads View citations (5)

1995

  1. A Functional Perspective of Financial Intermediation
    Financial Management, 1995, 24, (2) View citations (75)
  2. Financial innovation and the management and regulation of financial institutions
    Journal of Banking & Finance, 1995, 19, (3-4), 461-481 Downloads View citations (87)
    See also Working Paper (1995)
  3. MARK-TO-MARKET ACCOUNTING FOR BANKS AND THRIFTS - LESSONS FROM THE DANISH EXPERIENCE
    Journal of Accounting Research, 1995, 33, (1), 1-32 Downloads View citations (13)

1993

  1. Deposit insurance reform: a functional approach
    Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 1-34 Downloads View citations (14)
  2. Reply to Benston and Kaufman
    Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 51-55 Downloads
  3. THEORY OF RISK CAPITAL IN FINANCIAL FIRMS
    Journal of Applied Corporate Finance, 1993, 6, (3), 16-32 Downloads View citations (82)

1992

  1. FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE
    Journal of Applied Corporate Finance, 1992, 4, (4), 12-22 Downloads View citations (74)
  2. Labor supply flexibility and portfolio choice in a life cycle model
    Journal of Economic Dynamics and Control, 1992, 16, (3-4), 427-449 Downloads View citations (369)
    See also Working Paper (1992)
  3. On the Management of Financial Guarantees
    Financial Management, 1992, 21, (4) View citations (44)

1987

  1. A Simple Model of Capital Market Equilibrium with Incomplete Information
    Journal of Finance, 1987, 42, (3), 483-510 Downloads View citations (1125)
    See also Working Paper (1987)
  2. Dividend Behavior for the Aggregate Stock Market
    The Journal of Business, 1987, 60, (1), 1-40 Downloads View citations (70)
    See also Working Paper (1986)
  3. In Honor of Nobel Laureate, Franco Modigliani
    Journal of Economic Perspectives, 1987, 1, (2), 145-55 Downloads

1986

  1. Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices
    American Economic Review, 1986, 76, (3), 483-98 Downloads View citations (102)
    See also Working Paper (1984)

1984

  1. Macroeconomics and finance: The role of the stock market
    Carnegie-Rochester Conference Series on Public Policy, 1984, 21, (1), 57-108 Downloads View citations (89)
    See also Working Paper (1984)

1982

  1. The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
    The Journal of Business, 1982, 55, (1), 1-55 Downloads View citations (13)

1981

  1. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts
    The Journal of Business, 1981, 54, (3), 363-406 Downloads View citations (175)
  2. On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
    The Journal of Business, 1981, 54, (4), 513-33 Downloads View citations (375)

1980

  1. On estimating the expected return on the market: An exploratory investigation
    Journal of Financial Economics, 1980, 8, (4), 323-361 Downloads View citations (762)
    See also Working Paper (1980)

1978

  1. On the Cost of Deposit Insurance When There Are Surveillance Costs
    The Journal of Business, 1978, 51, (3), 439-52 Downloads View citations (99)
    See also Working Paper (1977)
  2. The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
    The Journal of Business, 1978, 51, (2), 183-242 Downloads View citations (21)

1977

  1. 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 Downloads View citations (300)
  2. On the pricing of contingent claims and the Modigliani-Miller theorem
    Journal of Financial Economics, 1977, 5, (2), 241-249 Downloads View citations (72)

1976

  1. Option pricing when underlying stock returns are discontinuous
    Journal of Financial Economics, 1976, 3, (1-2), 125-144 Downloads View citations (1231)
    See also Working Paper (1975)
  2. The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns
    Journal of Finance, 1976, 31, (2), 333-50 Downloads View citations (27)

1975

  1. An Asymptotic Theory of Growth Under Uncertainty
    Review of Economic Studies, 1975, 42, (3), 375-393 Downloads View citations (121)
    See also Working Paper (1973)
  2. Theory of Finance from the Perspective of Continuous Time
    Journal of Financial and Quantitative Analysis, 1975, 10, (4), 659-674 Downloads View citations (21)

1974

  1. Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
    Journal of Financial Economics, 1974, 1, (1), 67-94 Downloads View citations (42)
  2. Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions
    Journal of Finance, 1974, 29, (1), 27-40 Downloads View citations (4)
  3. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
    Journal of Finance, 1974, 29, (2), 449-70 Downloads View citations (2751)
    See also Working Paper (1973)
  4. The Optimality of a Competitive Stock Market
    Bell Journal of Economics, 1974, 5, (1), 145-170 Downloads View citations (1)

1973

  1. An Intertemporal Capital Asset Pricing Model
    Econometrica, 1973, 41, (5), 867-87 Downloads View citations (1585)
  2. The Relationship Between Put and Call Option Prices: Comment
    Journal of Finance, 1973, 28, (1), 183-84 Downloads View citations (11)
  3. Theory of Rational Option Pricing
    Bell Journal of Economics, 1973, 4, (1), 141-183 Downloads View citations (1671)
    See also Chapter (2005)

1972

  1. An Analytic Derivation of the Efficient Portfolio Frontier
    Journal of Financial and Quantitative Analysis, 1972, 7, (4), 1851-1872 Downloads View citations (192)

1971

  1. Optimum consumption and portfolio rules in a continuous-time model
    Journal of Economic Theory, 1971, 3, (4), 373-413 Downloads View citations (1287)
    See also Working Paper (1970)

1969

  1. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
    The Review of Economics and Statistics, 1969, 51, (3), 247-57 Downloads View citations (1042)

Books

2008

  1. Asset Management in Volatile Markets
    SUERF Studies, SUERF - The European Money and Finance Forum Downloads

Chapters

2011

  1. Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework
    Chapter 05 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 125-157 Downloads View citations (1)

2005

  1. DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE
    Chapter 1 in The World Of Risk Management, 2005, pp 1-27 Downloads View citations (7)
    See also Working Paper (2004)
  2. Theory of rational option pricing
    Chapter 8 in Theory Of Valuation, 2005, pp 229-288 Downloads
    See also Journal Article in Bell Journal of Economics (1973)

1993

  1. On the microeconomic theory of investment under uncertainty
    Chapter 13 in Handbook of Mathematical Economics, 1993, vol. 2, pp 601-669 Downloads View citations (2)
    See also Working Paper (1977)
  2. Optimal Investment Strategies for University Endowment Funds
    A chapter in Studies of Supply and Demand in Higher Education, 1993, pp 211-242 Downloads View citations (4)
    See also Working Paper (1991)

1990

  1. Capital market theory and the pricing of financial securities
    Chapter 11 in Handbook of Monetary Economics, 1990, vol. 1, pp 497-581 Downloads View citations (5)
    See also Working Paper (1986)

1988

  1. Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?
    A chapter in Pensions in the U.S. Economy, 1988, pp 139-162 Downloads View citations (19)
    See also Working Paper (1985)

1987

  1. Pension Plan Integration As Insurance Against Social Security Risk
    A chapter in Issues in Pension Economics, 1987, pp 147-172 Downloads View citations (8)
    See also Working Paper (1984)

1983

  1. On Consumption Indexed Public Pension Plans
    A chapter in Financial Aspects of the United States Pension System, 1983, pp 259-290 Downloads View citations (6)
    See also Working Paper (1982)
  2. On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable
    A chapter in Financial Aspects of the United States Pension System, 1983, pp 325-358 Downloads View citations (50)
 
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