robert c. merton

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Affiliations

• Massachusetts Institute of Technology (MIT) / Sloan School of Management
  • EDIRC entry
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Research profile

author of:

• Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices (RePEc:aea:aecrev:v:76:y:1986:i:3:p:483-98)
  by Marsh, Terry A & Merton, Robert C
• Applications of Option-Pricing Theory: Twenty-Five Years Later (RePEc:aea:aecrev:v:88:y:1998:i:3:p:323-49)
  by Merton, Robert C
• In Honor of Nobel Laureate, Franco Modigliani (RePEc:aea:jecper:v:1:y:1987:i:2:p:145-55)
  by Merton, Robert C
• Preface to the Annual Review of Financial Economics (RePEc:anr:refeco:v:1:y:2009:p:01-17)
  by Andrew W. Lo & Robert C. Merton
• Fischer Black (RePEc:anr:refeco:v:5:y:2013:p:9-19)
  by Robert C. Merton & Myron S. Scholes
• A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes (RePEc:bla:jacrfn:v:17:y:2005:i:3:p:95-101)
  by Peter Hancock & Roberto G. Mendoza & Robert C. Merton
• Allocating Shareholder Capital to Pension Plans (RePEc:bla:jacrfn:v:18:y:2006:i:1:p:15-24)
  by Robert C. Merton
• Financial Innovation And Economic Performance (RePEc:bla:jacrfn:v:4:y:1992:i:4:p:12-22)
  by Robert C. Merton
• Theory Of Risk Capital In Financial Firms (RePEc:bla:jacrfn:v:6:y:1993:i:3:p:16-32)
  by Robert C. Merton & André Perold
• The Relationship Between Put and Call Option Prices: Comment (RePEc:bla:jfinan:v:28:y:1973:i:1:p:183-84)
  by Merton, Robert C
• Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions (RePEc:bla:jfinan:v:29:y:1974:i:1:p:27-40)
  by Samuelson, Paul A & Merton, Robert C
• On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (RePEc:bla:jfinan:v:29:y:1974:i:2:p:449-70)
  by Merton, Robert C
• The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns (RePEc:bla:jfinan:v:31:y:1976:i:2:p:333-50)
  by Merton, Robert C
• A Simple Model of Capital Market Equilibrium with Incomplete Information (RePEc:bla:jfinan:v:42:y:1987:i:3:p:483-510)
  by Merton, Robert C
• Mark-To-Market Accounting For Banks And Thrifts - Lessons From The Danish Experience (RePEc:bla:joares:v:33:y:1995:i:1:p:1-32)
  by Bernard, Vl & Merton, Rc & Palepu, Kg
• Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework (RePEc:chb:bcchsb:v15c05pp000-000)
  by Dale F. Gray & Robert C. Merton & Zvi Bodie
• New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (RePEc:chb:bcchwp:541)
  by Dale F. Gray & Robert C. Merton & Zvi Bodie
• Theory of Finance from the Perspective of Continuous Time (RePEc:cup:jfinqa:v:10:y:1975:i:04:p:659-674_01)
  by Merton, Robert C.
• An Analytic Derivation of the Efficient Portfolio Frontier (RePEc:cup:jfinqa:v:7:y:1972:i:04:p:1851-1872_01)
  by Merton, Robert C.
• International pension swaps (RePEc:cup:jpenef:v:1:y:2002:i:01:p:77-83_00)
  by Bodie, Zvi & Merton, Robert C.
• Report on “The Committee on Yen Risk-free-rate Model Estimation†(RePEc:eab:financ:22315)
  by Takeaki KARIYA & Darrell DUFFIE & Mariko FUJII & Masaaki KIJIMA & Takao KOBAYASHI & Atsuyuki KOGURE & Robert MERTON & Akihiko TAKAHASHI & Keiichi TANAKA & Satoshi YAMASHITA
• An Intertemporal Capital Asset Pricing Model (RePEc:ecm:emetrp:v:41:y:1973:i:5:p:867-87)
  by Merton, Robert C
• Macroeconomics and finance: The role of the stock market (RePEc:eee:crcspp:v:21:y:1984:i::p:57-108)
  by Fischer, Stanley & Merton, Robert C.
• Deposit insurance reform: a functional approach (RePEc:eee:crcspp:v:38:y:1993:i::p:1-34)
  by Merton, Robert C. & Bodie, Zvi
• Reply to Benston and Kaufman (RePEc:eee:crcspp:v:38:y:1993:i::p:51-55)
  by Merton, Robert C. & Bodie, Zvi
• Labor supply flexibility and portfolio choice in a life cycle model (RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:427-449)
  by Bodie, Zvi & Merton, Robert C. & Samuelson, William F.
• An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (RePEc:eee:jbfina:v:1:y:1977:i:1:p:3-11)
  by Merton, Robert C.
• No-fault default, chapter 11 bankruptcy, and financial institutions (RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000248)
  by Merton, Robert C. & Thakor, Richard T.
• Financial innovation and the management and regulation of financial institutions (RePEc:eee:jbfina:v:19:y:1995:i:3-4:p:461-481)
  by Merton, Robert C.
• Optimum consumption and portfolio rules in a continuous-time model (RePEc:eee:jetheo:v:3:y:1971:i:4:p:373-413)
  by Merton, Robert C.
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (RePEc:eee:jfinec:v:1:y:1974:i:1:p:67-94)
  by Merton, Robert C. & Samuelson, Paul A.
• Systemic risk and the refinancing ratchet effect (RePEc:eee:jfinec:v:108:y:2013:i:1:p:29-45)
  by Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C.
• Option pricing when underlying stock returns are discontinuous (RePEc:eee:jfinec:v:3:y:1976:i:1-2:p:125-144)
  by Merton, Robert C.
• On the pricing of contingent claims and the Modigliani-Miller theorem (RePEc:eee:jfinec:v:5:y:1977:i:2:p:241-249)
  by Merton, Robert C.
• On estimating the expected return on the market : An exploratory investigation (RePEc:eee:jfinec:v:8:y:1980:i:4:p:323-361)
  by Merton, Robert C.
• Do a firm's equity returns reflect the risk of its pension plan? (RePEc:eee:jfinec:v:81:y:2006:i:1:p:1-26)
  by Jin, Li & Merton, Robert C. & Bodie, Zvi
• Customers and investors: A framework for understanding the evolution of financial institutions (RePEc:eee:jfinin:v:39:y:2019:i:c:p:4-18)
  by Merton, Robert C. & Thakor, Richard T.
• On the microeconomic theory of investment under uncertainty (RePEc:eee:matchp:2-13)
  by Merton, Robert C.
• Capital market theory and the pricing of financial securities (RePEc:eee:monchp:1-11)
  by Merton, Robert
• Unknown item RePEc:erf:erfssc:52-2 (chapter)
• Asset Management in Volatile Markets (RePEc:erf:erfstu:52)
  by Peter R. Haiss & Bernhard Sammer & Martin Gartner & Otto Loistl & Stephan Zellner & Christine Zinner & Robert C. Merton & Krzysztof Rybinski & Urszula Sowa
• On the Management of Financial Guarantees (RePEc:fma:fmanag:merton92)
  by Robert C. Merton & Zvi Bodie
• A Functional Perspective of Financial Intermediation (RePEc:fma:fmanag:merton95)
  by Robert C. Merton
• Speeches by Nobel Laureates (RePEc:fma:fmanag:nobels00)
  by Paul Samuelson & Robert Merton
• Systemic Risk and the Refinancing Ratchet Effect (RePEc:hbs:wpaper:10-023)
  by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
• An asymptotic theory of growth under uncertainty (RePEc:mit:sloanp:1872)
  by Merton, Robert C.
• On the pricing of corporate debt: the risk structure of interest rates (RePEc:mit:sloanp:1874)
  by Merton, Robert C.
• Option pricing when underlying stock returns are discontinuous (RePEc:mit:sloanp:1899)
  by Merton, Robert C.
• Continuous-time portfolio theory and the pricing of contingent claims (RePEc:mit:sloanp:1916)
  by Merton, Robert C.
• On the cost of deposit insurance when there are surveillance costs (RePEc:mit:sloanp:1921)
  by Merton, Robert C.
• On the microeconomic theory of investment under uncertainty (RePEc:mit:sloanp:1933)
  by Merton, Robert C.
• Earnings variablility and variance bounds tests for the rationality of stock market prices (RePEc:mit:sloanp:2083)
  by Marsh, Terry A. & Merton, Robert C.
• Dividend variability and variance bounds tests for the rationality of stock market prices (RePEc:mit:sloanp:2088)
  by Marsh, Terry A. & Merton, Robert C.
• On the current state of the stock market rationality hypothesis (RePEc:mit:sloanp:2125)
  by Merton, Robert C.
• Capital market theory and the pricing of financial securities (RePEc:mit:sloanp:2150)
  by Merton, Robert C.
• A simple model of capital market equilibrium with incomplete information (RePEc:mit:sloanp:2166)
  by Merton, Robert C.
• Optimum Consumption and Portfolio Rules in a Continuous-time Model (RePEc:mit:worpap:58)
  by R. C. Merton
• On Consumption Indexed Public Pension Plans (RePEc:nbr:nberch:6035)
  by Robert C. Merton
• On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable (RePEc:nbr:nberch:6037)
  by Robert C. Merton
• Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs? (RePEc:nbr:nberch:6047)
  by Zvi Bodie & Alan J. Marcus & Robert C. Merton
• Optimal Investment Strategies for University Endowment Funds (RePEc:nbr:nberch:6102)
  by Robert C. Merton
• Pension Plan Integration As Insurance Against Social Security Risk (RePEc:nbr:nberch:6857)
  by Robert C. Merton & Zvi Bodie & Alan Marcus
• On Estimating the Expected Return on the Market: An Exploratory Investigation (RePEc:nbr:nberwo:0444)
  by Robert C. Merton
• On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable (RePEc:nbr:nberwo:0743)
  by Robert C. Merton
• On Consumption-Indexed Public Pension Plans (RePEc:nbr:nberwo:0910)
  by Robert C. Merton
• The Design of Financial Systems: Towards a Synthesis of Function and Structure (RePEc:nbr:nberwo:10620)
  by Robert C. Merton & Zvi Bodie
• Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan? (RePEc:nbr:nberwo:10650)
  by Li Jin & Robert Merton & Zvi Bobie
• A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy (RePEc:nbr:nberwo:12637)
  by Dale F. Gray & Robert C. Merton & Zvi Bodie
• Macroeconomics and Finance: The Role of the Stock Market (RePEc:nbr:nberwo:1291)
  by Stanley Fischer & Robert C. Merton
• New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (RePEc:nbr:nberwo:13607)
  by Dale F. Gray & Robert C. Merton & Zvi Bodie
• Pension Plan Integration as Insurance Against Social Security Risk (RePEc:nbr:nberwo:1370)
  by Robert C. Merton & Zvi Bodie & Alan J. Marcus
• Systemic Risk and the Refinancing Ratchet Effect (RePEc:nbr:nberwo:15362)
  by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
• Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs? (RePEc:nbr:nberwo:1719)
  by Zvi Bodie & Alan J. Marcus & Robert C. Merton
• Customers and Investors: A Framework for Understanding Financial Institutions (RePEc:nbr:nberwo:21258)
  by Robert C. Merton & Richard T. Thakor
• Trust in Lending (RePEc:nbr:nberwo:24778)
  by Richard T. Thakor & Robert C. Merton
• No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions (RePEc:nbr:nberwo:28341)
  by Robert C. Merton & Richard T. Thakor
• Optimal Investment Strategies for University Endowment Funds (RePEc:nbr:nberwo:3820)
  by Robert C. Merton
• Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model (RePEc:nbr:nberwo:3954)
  by Zvi Bodie & Robert C. Merton & William F. Samuelson
• Financial Innovation and the Management and Regulation of Financial Institutions (RePEc:nbr:nberwo:5096)
  by Robert C. Merton
• Transparency, Risk Management and International Financial Fragility (RePEc:nbr:nberwo:9806)
  by Mario Draghi & Francesco Giavazzi & Robert C. Merton
• The Derivatives Sourcebook (RePEc:now:fntfin:0500000005)
  by Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S.
• An Asymptotic Theory of Growth Under Uncertainty (RePEc:oup:restud:v:42:y:1975:i:3:p:375-393.)
  by Robert C. Merton
• A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries (RePEc:oup:revfin:v:1:y:1997:i:1:p:1-13.)
  by Robert C. Merton
• SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT (RePEc:ris:jofitr:1643)
  by Muralidhar, Arun & Merton, Robert
• Applications of Option-Pricing Theory: Twenty-Five Years Later (RePEc:ris:nobelp:1997_001)
  by Merton, Robert C.
• Autobiography (RePEc:ris:nobelp:1997_003)
  by Merton, Robert C.
• Interview with Nobel Prize Laureate Robert C. Merton (RePEc:ris:nobelp:1997_005)
  by Merton, Robert C.
• Theory of Rational Option Pricing (RePEc:rje:bellje:v:4:y:1973:i:spring:p:141-183)
  by Robert C. Merton
• The Optimality of a Competitive Stock Market (RePEc:rje:bellje:v:5:y:1974:i:spring:p:145-170)
  by Robert C. Merton & Marti G. Subrahmanyam
• Paul Samuelson and Financial Economics (RePEc:sae:amerec:v:50:y:2006:i:2:p:9-31)
  by Robert C. Merton
• SeLFIES for Portugal: An Innovative Pan European Retirement Solution (RePEc:spr:fimchp:978-3-030-29497-7_10)
  by Robert C. Merton & Arun Muralidhar & Rui Seybert Pinto Ferreira
• Thoughts on the Future: Theory and Practice in Investment Management (RePEc:taf:ufajxx:v:59:y:2003:i:1:p:17-23)
  by Robert C. Merton
• On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) (RePEc:taf:ufajxx:v:69:y:2013:i:2:p:22-33)
  by Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon
• Q Group Panel Discussion: Looking to the Future (RePEc:taf:ufajxx:v:72:y:2016:i:4:p:17-25)
  by Martin Leibowitz & Andrew W. Lo & Robert C. Merton & Stephen A. Ross & Jeremy Siegel
• ADB's Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management (RePEc:tpr:adbadr:v:31:y:2014:i:1:p:186-210)
  by Robert C. Merton
• Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (RePEc:tpr:restat:v:51:y:1969:i:3:p:247-57)
  by Merton, Robert C
• Dividend Behavior for the Aggregate Stock Market (RePEc:ucb:calbrf:163)
  by Terry A. Marsh and Robert C. Merton.
• The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (RePEc:ucp:jnlbus:v:51:y:1978:i:2:p:183-242)
  by Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L
• On the Cost of Deposit Insurance When There Are Surveillance Costs (RePEc:ucp:jnlbus:v:51:y:1978:i:3:p:439-52)
  by Merton, Robert C
• On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts (RePEc:ucp:jnlbus:v:54:y:1981:i:3:p:363-406)
  by Merton, Robert C
• On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (RePEc:ucp:jnlbus:v:54:y:1981:i:4:p:513-33)
  by Henriksson, Roy D & Merton, Robert C
• The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies (RePEc:ucp:jnlbus:v:55:y:1982:i:1:p:1-55)
  by Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L
• Dividend Behavior for the Aggregate Stock Market (RePEc:ucp:jnlbus:v:60:y:1987:i:1:p:1-40)
  by Marsh, Terry A & Merton, Robert C
• Design Of Financial Systems: Towards A Synthesis Of Function And Structure (RePEc:wsi:wschap:9789812700865_0001)
  by Robert C. Merton & Zvi Bodie
• Theory of rational option pricing (RePEc:wsi:wschap:9789812701022_0008)
  by Robert C. Merton