Robert C. Merton
Personal Details
First Name: | Robert |
Middle Name: | C. |
Last Name: | Merton |
Suffix: | |
RePEc Short-ID: | pme203 |
[This author has chosen not to make the email address public] | |
http://mitsloan.mit.edu/faculty/detail.php?in_spseqno=SP000170&co_list=F | |
Terminal Degree: | 1970 Economics Department; Massachusetts Institute of Technology (MIT) (from RePEc Genealogy) |
Affiliation
Sloan School of Management
Massachusetts Institute of Technology (MIT)
Cambridge, Massachusetts (United States)http://mitsloan.mit.edu/
RePEc:edi:ssmitus (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Robert C. Merton & Richard T. Thakor, 2021.
"No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions,"
NBER Working Papers
28341, National Bureau of Economic Research, Inc.
- Merton, Robert C. & Thakor, Richard T., 2022. "No-fault default, chapter 11 bankruptcy, and financial institutions," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Richard T. Thakor & Robert C. Merton, 2018. "Trust in Lending," NBER Working Papers 24778, National Bureau of Economic Research, Inc.
- Robert C. Merton & Richard T. Thakor, 2015. "Customers and Investors: A Framework for Understanding Financial Institutions," NBER Working Papers 21258, National Bureau of Economic Research, Inc.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2009.
"New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability,"
Working Papers Central Bank of Chile
541, Central Bank of Chile.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009.
"Systemic Risk and the Refinancing Ratchet Effect,"
Harvard Business School Working Papers
10-023, Harvard Business School, revised Jul 2010.
- Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.
- Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA, 2007. "Report on “The Committee on Yen Risk-free-rate Model Estimationâ€Â," Finance Working Papers 22315, East Asian Bureau of Economic Research.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2006. "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy," NBER Working Papers 12637, National Bureau of Economic Research, Inc.
- Merton, Robert C., 2004. "Interview with Nobel Prize Laureate Robert C. Merton," Nobel Prize in Economics documents 1997-5, Nobel Prize Committee.
- Robert C. Merton & Zvi Bodie, 2004.
"The Design of Financial Systems: Towards a Synthesis of Function and Structure,"
NBER Working Papers
10620, National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie, 2005. "Design Of Financial Systems: Towards A Synthesis Of Function And Structure," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Risk Management, chapter 1, pages 1-27, World Scientific Publishing Co. Pte. Ltd..
- Li Jin & Robert Merton & Zvi Bobie, 2004.
"Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?,"
NBER Working Papers
10650, National Bureau of Economic Research, Inc.
- Jin, Li & Merton, Robert C. & Bodie, Zvi, 2006. "Do a firm's equity returns reflect the risk of its pension plan?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 1-26, July.
- Mario Draghi & Francesco Giavazzi & Robert C. Merton, 2003. "Transparency, Risk Management and International Financial Fragility," NBER Working Papers 9806, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1998. "Autobiography," Nobel Prize in Economics documents 1997-3, Nobel Prize Committee.
- Merton, Robert C., 1997.
"Applications of Option-Pricing Theory: Twenty-Five Years Later,"
Nobel Prize in Economics documents
1997-1, Nobel Prize Committee.
- Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
- Robert C. Merton, 1995.
"Financial Innovation and the Management and Regulation of Financial Institutions,"
NBER Working Papers
5096, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1995. "Financial innovation and the management and regulation of financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 461-481, June.
- Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992.
"Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model,"
NBER Working Papers
3954, National Bureau of Economic Research, Inc.
- Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
- Robert C. Merton, 1991.
"Optimal Investment Strategies for University Endowment Funds,"
NBER Working Papers
3820, National Bureau of Economic Research, Inc.
- Robert C. Merton, 1993. "Optimal Investment Strategies for University Endowment Funds," NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1987.
"A simple model of capital market equilibrium with incomplete information,"
Working papers
1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
- Merton, Robert C., 1986.
"Capital market theory and the pricing of financial securities,"
Working papers
1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581, Elsevier.
- Terry A. Marsh and Robert C. Merton., 1986.
"Dividend Behavior for the Aggregate Stock Market,"
Research Program in Finance Working Papers
163, University of California at Berkeley.
- Marsh, Terry A & Merton, Robert C, 1987. "Dividend Behavior for the Aggregate Stock Market," The Journal of Business, University of Chicago Press, vol. 60(1), pages 1-40, January.
- Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985.
"Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?,"
NBER Working Papers
1719, National Bureau of Economic Research, Inc.
- Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1988. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?," NBER Chapters, in: Pensions in the U.S. Economy, pages 139-162, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert C. Merton & Zvi Bodie & Alan J. Marcus, 1984.
"Pension Plan Integration as Insurance Against Social Security Risk,"
NBER Working Papers
1370, National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie & Alan Marcus, 1987. "Pension Plan Integration As Insurance Against Social Security Risk," NBER Chapters, in: Issues in Pension Economics, pages 147-172, National Bureau of Economic Research, Inc.
- Stanley Fischer & Robert C. Merton, 1984.
"Macroeconomics and Finance: The Role of the Stock Market,"
NBER Working Papers
1291, National Bureau of Economic Research, Inc.
- Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
- Marsh, Terry A. & Merton, Robert C., 1984. "Earnings variablility and variance bounds tests for the rationality of stock market prices," Working papers 1559-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Marsh, Terry A. & Merton, Robert C., 1984.
"Dividend variability and variance bounds tests for the rationality of stock market prices,"
Working papers
1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, vol. 76(3), pages 483-498, June.
- Robert C. Merton, 1982.
"On Consumption-Indexed Public Pension Plans,"
NBER Working Papers
0910, National Bureau of Economic Research, Inc.
- Robert C. Merton, 1983. "On Consumption Indexed Public Pension Plans," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 259-290, National Bureau of Economic Research, Inc.
- Robert C. Merton, 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 0743, National Bureau of Economic Research, Inc.
- Robert C. Merton, 1980.
"On Estimating the Expected Return on the Market: An Exploratory Investigation,"
NBER Working Papers
0444, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
- Merton, Robert C., 1977.
"On the microeconomic theory of investment under uncertainty,"
Working papers
958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669, Elsevier.
- Merton, Robert C., 1977.
"On the cost of deposit insurance when there are surveillance costs,"
Working papers
903-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1978. "On the Cost of Deposit Insurance When There Are Surveillance Costs," The Journal of Business, University of Chicago Press, vol. 51(3), pages 439-452, July.
- Merton, Robert C., 1976. "Continuous-time portfolio theory and the pricing of contingent claims," Working papers 881-76., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
Working papers
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1973.
"An asymptotic theory of growth under uncertainty,"
Working papers
673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert C. Merton, 1975. "An Asymptotic Theory of Growth Under Uncertainty," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 42(3), pages 375-393.
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
Working papers
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- R. C. Merton, 1970.
"Optimum Consumption and Portfolio Rules in a Continuous-time Model,"
Working papers
58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
Articles
- Merton, Robert C. & Thakor, Richard T., 2022.
"No-fault default, chapter 11 bankruptcy, and financial institutions,"
Journal of Banking & Finance, Elsevier, vol. 140(C).
- Robert C. Merton & Richard T. Thakor, 2021. "No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions," NBER Working Papers 28341, National Bureau of Economic Research, Inc.
- Muralidhar, Arun & Merton, Robert, 2020. "SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT," Journal of Financial Transformation, Capco Institute, vol. 51, pages 8-20.
- Merton, Robert C. & Thakor, Richard T., 2019. "Customers and investors: A framework for understanding the evolution of financial institutions," Journal of Financial Intermediation, Elsevier, vol. 39(C), pages 4-18.
- Martin Leibowitz & Andrew W. Lo & Robert C. Merton & Stephen A. Ross & Jeremy Siegel, 2016. "Q Group Panel Discussion: Looking to the Future," Financial Analysts Journal, Taylor & Francis Journals, vol. 72(4), pages 17-25, July.
- Robert C. Merton, 2014. "ADB's Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management," Asian Development Review, MIT Press, vol. 31(1), pages 186-210, March.
- Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon, 2013. "On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)," Financial Analysts Journal, Taylor & Francis Journals, vol. 69(2), pages 22-33, March.
- Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013.
"Systemic risk and the refinancing ratchet effect,"
Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
- Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.
- Robert C. Merton & Myron S. Scholes, 2013.
"Fischer Black,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 9-19, November.
- Scholes, Myron S, 1995. "Fischer Black," Journal of Finance, American Finance Association, vol. 50(5), pages 1359-1370, December.
- Andrew W. Lo & Robert C. Merton, 2009. "Preface to the Annual Review of Financial Economics," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 1-17, November.
- Robert C. Merton, 2006. "Allocating Shareholder Capital to Pension Plans," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(1), pages 15-24, March.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
- Jin, Li & Merton, Robert C. & Bodie, Zvi, 2006.
"Do a firm's equity returns reflect the risk of its pension plan?,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 1-26, July.
- Li Jin & Robert Merton & Zvi Bobie, 2004. "Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?," NBER Working Papers 10650, National Bureau of Economic Research, Inc.
- Peter Hancock & Roberto G. Mendoza & Robert C. Merton, 2005. "A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(3), pages 95-101, June.
- Robert C. Merton, 2003. "Thoughts on the Future: Theory and Practice in Investment Management," Financial Analysts Journal, Taylor & Francis Journals, vol. 59(1), pages 17-23, January.
- Bodie, Zvi & Merton, Robert C., 2002. "International pension swaps," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(1), pages 77-83, March.
- Paul Samuelson & Robert Merton, 2000. "Speeches by Nobel Laureates," Financial Management, Financial Management Association, vol. 29(3), Fall.
- Merton, Robert C, 1998.
"Applications of Option-Pricing Theory: Twenty-Five Years Later,"
American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
- Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
- Robert C. Merton, 1997. "A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries," Review of Finance, European Finance Association, vol. 1(1), pages 1-13.
- Merton, Robert C., 1995.
"Financial innovation and the management and regulation of financial institutions,"
Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 461-481, June.
- Robert C. Merton, 1995. "Financial Innovation and the Management and Regulation of Financial Institutions," NBER Working Papers 5096, National Bureau of Economic Research, Inc.
- Bernard, Vl & Merton, Rc & Palepu, Kg, 1995. "Mark-To-Market Accounting For Banks And Thrifts - Lessons From The Danish Experience," Journal of Accounting Research, Wiley Blackwell, vol. 33(1), pages 1-32.
- Robert C. Merton, 1995. "A Functional Perspective of Financial Intermediation," Financial Management, Financial Management Association, vol. 24(2), Summer.
- Robert C. Merton & André Perold, 1993. "Theory Of Risk Capital In Financial Firms," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(3), pages 16-32, September.
- Merton, Robert C. & Bodie, Zvi, 1993. "Deposit insurance reform: a functional approach," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 1-34, June.
- Merton, Robert C. & Bodie, Zvi, 1993. "Reply to Benston and Kaufman," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 51-55, June.
- Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992.
"Labor supply flexibility and portfolio choice in a life cycle model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
- Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
- Robert C. Merton, 1992. "Financial Innovation And Economic Performance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 12-22, January.
- Merton, Robert C, 1987.
"A Simple Model of Capital Market Equilibrium with Incomplete Information,"
Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
- Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1987. "In Honor of Nobel Laureate, Franco Modigliani," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 145-155, Fall.
- Marsh, Terry A & Merton, Robert C, 1987.
"Dividend Behavior for the Aggregate Stock Market,"
The Journal of Business, University of Chicago Press, vol. 60(1), pages 1-40, January.
- Terry A. Marsh and Robert C. Merton., 1986. "Dividend Behavior for the Aggregate Stock Market," Research Program in Finance Working Papers 163, University of California at Berkeley.
- Marsh, Terry A & Merton, Robert C, 1986.
"Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices,"
American Economic Review, American Economic Association, vol. 76(3), pages 483-498, June.
- Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Fischer, Stanley & Merton, Robert C., 1984.
"Macroeconomics and finance: The role of the stock market,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
- Stanley Fischer & Robert C. Merton, 1984. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc.
- Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1982. "The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 55(1), pages 1-55, January.
- Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
- Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
- Merton, Robert C., 1980.
"On estimating the expected return on the market : An exploratory investigation,"
Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
- Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
- Merton, Robert C, 1978.
"On the Cost of Deposit Insurance When There Are Surveillance Costs,"
The Journal of Business, University of Chicago Press, vol. 51(3), pages 439-452, July.
- Merton, Robert C., 1977. "On the cost of deposit insurance when there are surveillance costs," Working papers 903-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1978. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 51(2), pages 183-242, April.
- Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
- Merton, Robert C., 1977. "On the pricing of contingent claims and the Modigliani-Miller theorem," Journal of Financial Economics, Elsevier, vol. 5(2), pages 241-249, November.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-350, May.
- Merton, Robert C., 1975. "Theory of Finance from the Perspective of Continuous Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(4), pages 659-674, November.
- Robert C. Merton, 1975.
"An Asymptotic Theory of Growth Under Uncertainty,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 42(3), pages 375-393.
- Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert C. Merton & Marti G. Subrahmanyam, 1974. "The Optimality of a Competitive Stock Market," Bell Journal of Economics, The RAND Corporation, vol. 5(1), pages 145-170, Spring.
- Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May.
- Samuelson, Paul A & Merton, Robert C, 1974. "Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions," Journal of Finance, American Finance Association, vol. 29(1), pages 27-40, March.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Robert C. Merton, 1973.
"Theory of Rational Option Pricing,"
Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
- Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-184, March.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
Chapters
- Robert C. Merton & Arun Muralidhar & Rui Seybert Pinto Ferreira, 2019. "SeLFIES for Portugal: An Innovative Pan European Retirement Solution," Financial and Monetary Policy Studies, in: Nazaré da Costa Cabral & Nuno Cunha Rodrigues (ed.), The Future of Pension Plans in the EU Internal Market, pages 161-178, Springer.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2011. "Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 5, pages 125-157, Central Bank of Chile.
- Robert C. Merton & Zvi Bodie, 2005.
"Design Of Financial Systems: Towards A Synthesis Of Function And Structure,"
World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Risk Management, chapter 1, pages 1-27,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
- Robert C. Merton, 2005.
"Theory of rational option pricing,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Merton, Robert C., 1993.
"On the microeconomic theory of investment under uncertainty,"
Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669,
Elsevier.
- Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert C. Merton, 1993.
"Optimal Investment Strategies for University Endowment Funds,"
NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242,
National Bureau of Economic Research, Inc.
- Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc.
- Merton, Robert, 1990.
"Capital market theory and the pricing of financial securities,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581,
Elsevier.
- Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1988.
"Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?,"
NBER Chapters, in: Pensions in the U.S. Economy, pages 139-162,
National Bureau of Economic Research, Inc.
- Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985. "Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?," NBER Working Papers 1719, National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie & Alan Marcus, 1987.
"Pension Plan Integration As Insurance Against Social Security Risk,"
NBER Chapters, in: Issues in Pension Economics, pages 147-172,
National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie & Alan J. Marcus, 1984. "Pension Plan Integration as Insurance Against Social Security Risk," NBER Working Papers 1370, National Bureau of Economic Research, Inc.
- Robert C. Merton, 1983.
"On Consumption Indexed Public Pension Plans,"
NBER Chapters, in: Financial Aspects of the United States Pension System, pages 259-290,
National Bureau of Economic Research, Inc.
- Robert C. Merton, 1982. "On Consumption-Indexed Public Pension Plans," NBER Working Papers 0910, National Bureau of Economic Research, Inc.
- Robert C. Merton, 1983.
"On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable,"
NBER Chapters, in: Financial Aspects of the United States Pension System, pages 325-358,
National Bureau of Economic Research, Inc.
RePEc:erf:erfssc:52-2 is not listed on IDEAS
Books
- Peter R. Haiss & Bernhard Sammer & Martin Gartner & Otto Loistl & Stephan Zellner & Christine Zinner & Robert C. Merton & Krzysztof Rybinski & Urszula Sowa, 2008. "Asset Management in Volatile Markets," SUERF Studies, SUERF - The European Money and Finance Forum, number 2008/5 edited by Morten Balling, May.
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This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:- ããã¼ãã»ãã¼ãã³ in Wikipedia (Japanese)
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MAC: Macroeconomics (4) 2006-11-04 2007-12-01 2009-09-26 2018-08-20
- NEP-BAN: Banking (3) 2015-06-20 2018-08-20 2021-02-08
- NEP-CFN: Corporate Finance (3) 2003-07-10 2018-08-20 2021-02-08
- NEP-RMG: Risk Management (2) 2003-07-10 2007-12-01
- NEP-ACC: Accounting and Auditing (1) 2004-08-31
- NEP-FIN: Finance (1) 2003-07-10
- NEP-MFD: Microfinance (1) 2004-07-18
- NEP-PAY: Payment Systems and Financial Technology (1) 2018-08-20
- NEP-PBE: Public Economics (1) 2006-11-04
- NEP-SOC: Social Norms and Social Capital (1) 2018-08-20
- NEP-URE: Urban and Real Estate Economics (1) 2009-09-26
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