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Robert C. Merton

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Personal Details

First Name: Robert
Middle Name: C.
Last Name: Merton
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RePEc Short-ID: pme203

Email:
Homepage: http://mitsloan.mit.edu/faculty/detail.php?in_spseqno=SP000170&co_list=F
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Affiliation

Sloan School of Management
Massachusetts Institute of Technology (MIT)
Location: Cambridge, Massachusetts (United States)
Homepage: http://mitsloan.mit.edu/
Email:
Phone: 617-253-2659
Fax:
Postal: 50 Memorial Drive, Cambridge, Massachusetts 02142
Handle: RePEc:edi:ssmitus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Robert C. Merton in Wikipedia (Vietnamese)
  2. روبرت مرتون in Wikipedia (Persian)
  3. Robert C. Merton in Wikipedia (English)
  4. Робърт Мъртън in Wikipedia (Bulgarian)
  5. ロバート・マートン in Wikipedia (Japanese)
  6. Robert C. Merton in Wikipedia (Turkish)
  7. Robert C. Merton in Wikipedia (Norwegian)
  8. Nobel laureates in economics

Works

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Working papers

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Merton, Robert C., 2004. "Interview with Nobel Prize Laureate Robert C. Merton," Nobel Prize in Economics documents 1997-5, Nobel Prize Committee.
  8. 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.
  9. Merton, Robert C., 1998. "Autobiography," Nobel Prize in Economics documents 1997-3, Nobel Prize Committee.
  10. Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
  11. Robert C. Merton, 1995. "Financial Innovation and the Management and Regulation of Financial Institutions," NBER Working Papers 5096, National Bureau of Economic Research, Inc.
  12. 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.
  13. Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Stanley Fischer & Robert C. Merton, 1985. "Macroeconomics and Finance: The Role of the Stock Market," NBER Working Papers 1291, National Bureau of Economic Research, Inc.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Robert C. Merton, 1982. "On Consumption-Indexed Public Pension Plans," NBER Working Papers 0910, National Bureau of Economic Research, Inc.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  31. 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.
  32. 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.

Articles

  1. 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.
  2. Robert C. Merton & Myron S. Scholes, 2013. "Fischer Black," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 9-19, November.
  3. 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.
  4. 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.
  5. 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.
  6. Robert C. Merton, 2006. "Allocating Shareholder Capital to Pension Plans," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(1), pages 15-24.
  7. 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.
  8. 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.
  9. Bodie, Zvi & Merton, Robert C., 2002. "International pension swaps," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(01), pages 77-83, March.
  10. Paul Samuelson & Robert Merton, 2000. "Speeches by Nobel Laureates," Financial Management, Financial Management Association, vol. 29(3), Fall.
  11. Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-49, June.
  12. 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.
  13. Robert C. Merton, 1995. "A Functional Perspective of Financial Intermediation," Financial Management, Financial Management Association, vol. 24(2), Summer.
  14. 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.
  15. 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.
  16. 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.
  17. Robert C. Merton, 1992. "Financial Innovation And Economic Performance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 12-22.
  18. 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.
  19. Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
  20. Merton, Robert C, 1987. "In Honor of Nobel Laureate, Franco Modigliani," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 145-55, Fall.
  21. 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.
  22. 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.
  23. 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 483-98, June.
  24. 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.
  25. 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.
  26. 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 513-33, October.
  27. 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.
  28. 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.
  29. 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.
  30. 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 439-52, July.
  31. 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.
  32. 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.
  33. 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 333-50, May.
  34. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  35. Merton, Robert C, 1975. "An Asymptotic Theory of Growth under Uncertainty," Review of Economic Studies, Wiley Blackwell, vol. 42(3), pages 375-93, July.
  36. Merton, Robert C., 1975. "Theory of Finance from the Perspective of Continuous Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(04), pages 659-674, November.
  37. 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.
  38. 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.
  39. 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 449-70, May.
  40. 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.
  41. Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-84, March.
  42. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  43. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  44. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
  45. 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.
  46. 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 247-57, August.

Chapters

  1. 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.
  2. Morten Balling & Ernest Gnan & Robert C. Merton, 2008. "Future Trends in Asset Management: Challenges and Observations," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.

Books

  1. 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.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2004-08-31
  2. NEP-CFN: Corporate Finance (1) 2003-07-10
  3. NEP-FIN: Finance (1) 2003-07-10
  4. NEP-MAC: Macroeconomics (2) 2007-12-01 2009-09-26. Author is listed
  5. NEP-MFD: Microfinance (1) 2004-07-18
  6. NEP-RMG: Risk Management (2) 2003-07-10 2007-12-01. Author is listed
  7. NEP-URE: Urban & Real Estate Economics (1) 2009-09-26

Statistics

This author is among the top 5% authors according to these criteria:
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  6. Number of Distinct Works, Weighted by Number of Authors
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  9. Number of Citations
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  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
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  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
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  21. h-index
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  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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