Details about Robert C. Merton
Access statistics for papers by Robert C. Merton.
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Short-id: pme203
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Working Papers
2021
- No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article No-fault default, chapter 11 bankruptcy, and financial institutions, Journal of Banking & Finance, Elsevier (2022) (2022)
2018
- Trust in Lending
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
2015
- Customers and Investors: A Framework for Understanding Financial Institutions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2010
- Systemic Risk and the Refinancing Ratchet Effect
Harvard Business School Working Papers, Harvard Business School View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (24)
See also Journal Article Systemic risk and the refinancing ratchet effect, Journal of Financial Economics, Elsevier (2013) View citations (33) (2013)
2009
- New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
Working Papers Central Bank of Chile, Central Bank of Chile View citations (8)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (78)
2007
- Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â
Finance Working Papers, East Asian Bureau of Economic Research
2006
- A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
2004
- 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 Do a firm's equity returns reflect the risk of its pension plan?, Journal of Financial Economics, Elsevier (2006) View citations (29) (2006)
- Interview with Nobel Prize Laureate Robert C. Merton
Nobel Prize in Economics documents, Nobel Prize Committee
- The Design of Financial Systems: Towards a Synthesis of Function and Structure
NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
See also Chapter DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2005) View citations (31) (2005)
2003
- Transparency, Risk Management and International Financial Fragility
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
1998
- Autobiography
Nobel Prize in Economics documents, Nobel Prize Committee
1997
- Applications of Option-Pricing Theory: Twenty-Five Years Later
Nobel Prize in Economics documents, Nobel Prize Committee View citations (11)
See also Journal Article Applications of Option-Pricing Theory: Twenty-Five Years Later, American Economic Review, American Economic Association (1998) View citations (91) (1998)
1995
- Financial Innovation and the Management and Regulation of Financial Institutions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (119)
See also Journal Article Financial innovation and the management and regulation of financial institutions, Journal of Banking & Finance, Elsevier (1995) View citations (116) (1995)
1992
- Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
NBER Working Papers, National Bureau of Economic Research, Inc View citations (465)
See also Journal Article Labor supply flexibility and portfolio choice in a life cycle model, Journal of Economic Dynamics and Control, Elsevier (1992) View citations (524) (1992)
1991
- Optimal Investment Strategies for University Endowment Funds
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Chapter Optimal Investment Strategies for University Endowment Funds, NBER Chapters, National Bureau of Economic Research, Inc (1993) View citations (24) (1993)
1987
- A simple model of capital market equilibrium with incomplete information
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (1922)
See also Journal Article A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, American Finance Association (1987) View citations (1916) (1987)
1986
- Capital market theory and the pricing of financial securities
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 
See also Chapter Capital market theory and the pricing of financial securities, Handbook of Monetary Economics, Elsevier (1990) View citations (6) (1990)
- Dividend Behavior for the Aggregate Stock Market
Research Program in Finance Working Papers, University of California at Berkeley View citations (4)
See also Journal Article Dividend Behavior for the Aggregate Stock Market, The Journal of Business, University of Chicago Press (1987) View citations (97) (1987)
1985
- Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
See also Chapter Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?, NBER Chapters, National Bureau of Economic Research, Inc (1988) View citations (43) (1988)
- On the current state of the stock market rationality hypothesis
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (24)
1984
- 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 (24)
See also Journal Article Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices, American Economic Review, American Economic Association (1986) View citations (139) (1986)
- Earnings variablility and variance bounds tests for the rationality of stock market prices
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (1)
- Macroeconomics and Finance: The Role of the Stock Market
NBER Working Papers, National Bureau of Economic Research, Inc View citations (155)
See also Journal Article Macroeconomics and finance: The role of the stock market, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1984) View citations (162) (1984)
- Pension Plan Integration as Insurance Against Social Security Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Chapter Pension Plan Integration As Insurance Against Social Security Risk, NBER Chapters, National Bureau of Economic Research, Inc (1987) View citations (14) (1987)
1982
- On Consumption-Indexed Public Pension Plans
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Chapter On Consumption Indexed Public Pension Plans, NBER Chapters, National Bureau of Economic Research, Inc (1983) View citations (15) (1983)
1981
- 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 (31)
1980
- On Estimating the Expected Return on the Market: An Exploratory Investigation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1060)
See also Journal Article On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics, Elsevier (1980) View citations (1019) (1980)
1977
- On the cost of deposit insurance when there are surveillance costs
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (1)
See also Journal Article On the Cost of Deposit Insurance When There Are Surveillance Costs, The Journal of Business, University of Chicago Press (1978) View citations (135) (1978)
- On the microeconomic theory of investment under uncertainty
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (3)
See also Chapter On the microeconomic theory of investment under uncertainty, Handbook of Mathematical Economics, Elsevier (1993) View citations (2) (1993)
1976
- Continuous-time portfolio theory and the pricing of contingent claims
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
1975
- Option pricing when underlying stock returns are discontinuous
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (20)
See also Journal Article Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, Elsevier (1976) View citations (1733) (1976)
1973
- An asymptotic theory of growth under uncertainty
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 
See also Journal Article An Asymptotic Theory of Growth Under Uncertainty, The Review of Economic Studies, Review of Economic Studies Ltd (1975) View citations (161) (1975)
- 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 (143)
See also Journal Article On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, American Finance Association (1974) View citations (4246) (1974)
1970
- Optimum Consumption and Portfolio Rules in a Continuous-time Model
Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (78)
See also Journal Article Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, Elsevier (1971) View citations (1711) (1971)
Journal Articles
2022
- No-fault default, chapter 11 bankruptcy, and financial institutions
Journal of Banking & Finance, 2022, 140, (C) 
See also Working Paper No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions, NBER Working Papers (2021) View citations (1) (2021)
2020
- SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT
Journal of Financial Transformation, 2020, 51, 8-20
2019
- Customers and investors: A framework for understanding the evolution of financial institutions
Journal of Financial Intermediation, 2019, 39, (C), 4-18 View citations (16)
2016
- Q Group Panel Discussion: Looking to the Future
Financial Analysts Journal, 2016, 72, (4), 17-25
2014
- ADB's Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management
Asian Development Review, 2014, 31, (1), 186-210 View citations (4)
2013
- Fischer Black
Annual Review of Financial Economics, 2013, 5, (1), 9-19
- On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
Financial Analysts Journal, 2013, 69, (2), 22-33 View citations (1)
- Systemic risk and the refinancing ratchet effect
Journal of Financial Economics, 2013, 108, (1), 29-45 View citations (33)
See also Working Paper Systemic Risk and the Refinancing Ratchet Effect, Harvard Business School Working Papers (2010) View citations (1) (2010)
2009
- Preface to the Annual Review of Financial Economics
Annual Review of Financial Economics, 2009, 1, (1), 1-17 View citations (2)
2006
- Allocating Shareholder Capital to Pension Plans
Journal of Applied Corporate Finance, 2006, 18, (1), 15-24 View citations (7)
- Do a firm's equity returns reflect the risk of its pension plan?
Journal of Financial Economics, 2006, 81, (1), 1-26 View citations (29)
See also Working Paper Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?, NBER Working Papers (2004) (2004)
- Paul Samuelson and Financial Economics
The American Economist, 2006, 50, (2), 9-31 View citations (8)
- The Derivatives Sourcebook
Foundations and Trends(R) in Finance, 2006, 1, (5–6), 365-572
2005
- A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes
Journal of Applied Corporate Finance, 2005, 17, (3), 95-101
2003
- Thoughts on the Future: Theory and Practice in Investment Management
Financial Analysts Journal, 2003, 59, (1), 17-23
2002
- International pension swaps
Journal of Pension Economics and Finance, 2002, 1, (1), 77-83 View citations (25)
2000
- Speeches by Nobel Laureates
Financial Management, 2000, 29, (3)
1998
- Applications of Option-Pricing Theory: Twenty-Five Years Later
American Economic Review, 1998, 88, (3), 323-49 View citations (91)
See also Working Paper Applications of Option-Pricing Theory: Twenty-Five Years Later, Nobel Prize in Economics documents (1997) View citations (11) (1997)
1997
- A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries
Review of Finance, 1997, 1, (1), 1-13 View citations (18)
1995
- A Functional Perspective of Financial Intermediation
Financial Management, 1995, 24, (2) View citations (102)
- Financial innovation and the management and regulation of financial institutions
Journal of Banking & Finance, 1995, 19, (3-4), 461-481 View citations (116)
See also Working Paper Financial Innovation and the Management and Regulation of Financial Institutions, NBER Working Papers (1995) View citations (119) (1995)
- MARK-TO-MARKET ACCOUNTING FOR BANKS AND THRIFTS - LESSONS FROM THE DANISH EXPERIENCE
Journal of Accounting Research, 1995, 33, (1), 1-32 View citations (42)
1993
- Deposit insurance reform: a functional approach
Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 1-34 View citations (26)
- Reply to Benston and Kaufman
Carnegie-Rochester Conference Series on Public Policy, 1993, 38, (1), 51-55
- THEORY OF RISK CAPITAL IN FINANCIAL FIRMS
Journal of Applied Corporate Finance, 1993, 6, (3), 16-32 View citations (104)
1992
- FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE
Journal of Applied Corporate Finance, 1992, 4, (4), 12-22 View citations (109)
- 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 (524)
See also Working Paper Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model, NBER Working Papers (1992) View citations (465) (1992)
- On the Management of Financial Guarantees
Financial Management, 1992, 21, (4) View citations (57)
1987
- A Simple Model of Capital Market Equilibrium with Incomplete Information
Journal of Finance, 1987, 42, (3), 483-510 View citations (1916)
See also Working Paper A simple model of capital market equilibrium with incomplete information, Working papers (1987) View citations (1922) (1987)
- Dividend Behavior for the Aggregate Stock Market
The Journal of Business, 1987, 60, (1), 1-40 View citations (97)
See also Working Paper Dividend Behavior for the Aggregate Stock Market, Research Program in Finance Working Papers (1986) View citations (4) (1986)
- In Honor of Nobel Laureate, Franco Modigliani
Journal of Economic Perspectives, 1987, 1, (2), 145-55 View citations (2)
1986
- Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices
American Economic Review, 1986, 76, (3), 483-98 View citations (139)
See also Working Paper Dividend variability and variance bounds tests for the rationality of stock market prices, Working papers (1984) View citations (24) (1984)
1984
- Macroeconomics and finance: The role of the stock market
Carnegie-Rochester Conference Series on Public Policy, 1984, 21, (1), 57-108 View citations (162)
See also Working Paper Macroeconomics and Finance: The Role of the Stock Market, NBER Working Papers (1984) View citations (155) (1984)
1982
- The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
The Journal of Business, 1982, 55, (1), 1-55 View citations (19)
1981
- On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts
The Journal of Business, 1981, 54, (3), 363-406 View citations (244)
- On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
The Journal of Business, 1981, 54, (4), 513-33 View citations (586)
1980
- On estimating the expected return on the market: An exploratory investigation
Journal of Financial Economics, 1980, 8, (4), 323-361 View citations (1019)
See also Working Paper On Estimating the Expected Return on the Market: An Exploratory Investigation, NBER Working Papers (1980) View citations (1060) (1980)
1978
- On the Cost of Deposit Insurance When There Are Surveillance Costs
The Journal of Business, 1978, 51, (3), 439-52 View citations (135)
See also Working Paper On the cost of deposit insurance when there are surveillance costs, Working papers (1977) View citations (1) (1977)
- The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
The Journal of Business, 1978, 51, (2), 183-242 View citations (36)
1977
- 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 (469)
- On the pricing of contingent claims and the Modigliani-Miller theorem
Journal of Financial Economics, 1977, 5, (2), 241-249 View citations (85)
1976
- Option pricing when underlying stock returns are discontinuous
Journal of Financial Economics, 1976, 3, (1-2), 125-144 View citations (1733)
See also Working Paper Option pricing when underlying stock returns are discontinuous, Working papers (1975) View citations (20) (1975)
- The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns
Journal of Finance, 1976, 31, (2), 333-50 View citations (35)
1975
- An Asymptotic Theory of Growth Under Uncertainty
The Review of Economic Studies, 1975, 42, (3), 375-393 View citations (161)
See also Working Paper An asymptotic theory of growth under uncertainty, Working papers (1973) (1973)
- Theory of Finance from the Perspective of Continuous Time
Journal of Financial and Quantitative Analysis, 1975, 10, (4), 659-674 View citations (26)
1974
- 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 (58)
- Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions
Journal of Finance, 1974, 29, (1), 27-40 View citations (4)
- On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
Journal of Finance, 1974, 29, (2), 449-70 View citations (4246)
See also Working Paper On the pricing of corporate debt: the risk structure of interest rates, Working papers (1973) View citations (143) (1973)
- The Optimality of a Competitive Stock Market
Bell Journal of Economics, 1974, 5, (1), 145-170 View citations (4)
1973
- An Intertemporal Capital Asset Pricing Model
Econometrica, 1973, 41, (5), 867-87 View citations (2147)
- The Relationship Between Put and Call Option Prices: Comment
Journal of Finance, 1973, 28, (1), 183-84 View citations (22)
- Theory of Rational Option Pricing
Bell Journal of Economics, 1973, 4, (1), 141-183 View citations (2647)
See also Chapter Theory of rational option pricing, World Scientific Book Chapters, 2005, 229-288 (2005) View citations (2) (2005)
1972
- An Analytic Derivation of the Efficient Portfolio Frontier
Journal of Financial and Quantitative Analysis, 1972, 7, (4), 1851-1872 View citations (287)
1971
- Optimum consumption and portfolio rules in a continuous-time model
Journal of Economic Theory, 1971, 3, (4), 373-413 View citations (1711)
See also Working Paper Optimum Consumption and Portfolio Rules in a Continuous-time Model, Working papers (1970) View citations (78) (1970)
1969
- Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
The Review of Economics and Statistics, 1969, 51, (3), 247-57 View citations (1791)
Books
2008
- Asset Management in Volatile Markets
SUERF Studies, SUERF - The European Money and Finance Forum
Chapters
2019
- SeLFIES for Portugal: An Innovative Pan European Retirement Solution
Springer
2011
- 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 View citations (3)
2005
- DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE
Chapter 1 in The World Of Risk Management, 2005, pp 1-27 View citations (31)
See also Working Paper The Design of Financial Systems: Towards a Synthesis of Function and Structure, National Bureau of Economic Research, Inc (2004) View citations (47) (2004)
- Theory of rational option pricing
Chapter 8 in Theory Of Valuation, 2005, pp 229-288 View citations (2)
See also Journal Article Theory of Rational Option Pricing, The RAND Corporation (1973) View citations (2647) (1973)
1993
- On the microeconomic theory of investment under uncertainty
Chapter 13 in Handbook of Mathematical Economics, 1993, vol. 2, pp 601-669 View citations (2)
See also Working Paper On the microeconomic theory of investment under uncertainty, Massachusetts Institute of Technology (MIT), Sloan School of Management (1977) View citations (3) (1977)
- Optimal Investment Strategies for University Endowment Funds
A chapter in Studies of Supply and Demand in Higher Education, 1993, pp 211-242 View citations (24)
See also Working Paper Optimal Investment Strategies for University Endowment Funds, National Bureau of Economic Research, Inc (1991) (1991)
1990
- Capital market theory and the pricing of financial securities
Chapter 11 in Handbook of Monetary Economics, 1990, vol. 1, pp 497-581 View citations (6)
See also Working Paper Capital market theory and the pricing of financial securities, Massachusetts Institute of Technology (MIT), Sloan School of Management (1986) (1986)
1988
- 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 View citations (43)
See also Working Paper Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?, National Bureau of Economic Research, Inc (1985) View citations (13) (1985)
1987
- Pension Plan Integration As Insurance Against Social Security Risk
A chapter in Issues in Pension Economics, 1987, pp 147-172 View citations (14)
See also Working Paper Pension Plan Integration as Insurance Against Social Security Risk, National Bureau of Economic Research, Inc (1984) View citations (5) (1984)
1983
- On Consumption Indexed Public Pension Plans
A chapter in Financial Aspects of the United States Pension System, 1983, pp 259-290 View citations (15)
See also Working Paper On Consumption-Indexed Public Pension Plans, National Bureau of Economic Research, Inc (1982) View citations (6) (1982)
- 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 View citations (111)
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