Publications

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An Intertemporal Capital Asset Pricing Model

September 1973 | Miscellaneous | Paper
Merton, Robert C. “An Intertemporal Capital Asset Pricing Model.” Econometrica 41, no. 5 (September 1973): 867-887. (Chapter 15 in Continuous-Time Finance.)

An Analytical Derivation of the Efficient Portfolio Frontier

September 1972 | Miscellaneous | Paper
Merton, Robert C. "An Analytical Derivation of the Efficient Portfolio Frontier." Journal of Financial and Quantitative Analysis 10 (September 1972): 1851-1872

The Collected Scientific Papers of Paul A. Samuelson. Vol. 3

1972 | Continuous-Time Finance | Book
Merton, Robert C., ed. The Collected Scientific Papers of Paul A. Samuelson. Vol. 3. Cambridge, Mass.: MIT Press, 1972.

The Collected Scientific Papers of Paul A. Samuelson

1972 | Miscellaneous | Book
Merton, Robert C., ed. Vol. 3. Cambridge, Mass.: MIT Press.

Optimum Consumption and Portfolio Rules in a Continuous-Time Model

December 1971 | Continuous-Time Finance | Paper
Merton, Robert C. “Optimum Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory 3 (December 1971): 373-413. (Chapter I of Ph.D. dissertation; Chapter 5 in Continuous-Time Finance.)

A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm

December 1970 | Financial Engineering | Paper
Merton, Robert C. “A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm.” MIT Sloan School of Management Working Paper Series, No. 497-70, December 1970. (Chapter 11 in Continuous-Time Finance.)

Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics

1970 | Risk Management/Stocks | Paper
Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics" Ph.D. diss., Massachusetts Institute of Technology, 1970.