Publications

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Financial Economics

1983 | Financial Engineering | Book Chapter
Merton, Robert C. “Financial Economics.” In Paul Samuelson and Modern Economic Theory, edited by E. C. Brown and R. M. Solow. New York: McGraw-Hill, 1983.

On the Microeconomic Theory of Investment under Uncertainty

1982 | Financial Engineering | Book Chapter
Merton, Robert C. “On the Microeconomic Theory of Investment under Uncertainty.” In Handbook of Mathematical Economics. Vol. 2, edited by K. Arrow and M. Intriligator. Amsterdam: North-Holland Publishing Company, 1982.

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

October 1981 | Financial Engineering | Paper
Merton, Robert C., and Roy D. Henriksson. "On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills." Journal of Business 54 (October 1981): 513-533.

On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

July 1981 | Financial Engineering | Paper
Merton, Robert C. "On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts." Journal of Business 54, no. 3 (July 1981): 363-406.

On Estimating the Expected Return on the Market: An Exploratory Investigation

December 1980 | Financial Engineering | Paper
Merton, Robert C. "On Estimating the Expected Return on the Market: An Exploratory Investigation." Journal of Financial Economics 8 (December 1980): 1-39.

On the Pricing of Contingent Claims and the Modigliani-Miller Theorem

November 1977 | Financial Engineering | Paper
Merton, Robert C. "On the Pricing of Contingent Claims and the Modigliani-Miller Theorem." Journal of Financial Economics 5 (November 1977): 241-249. (Chapter 13 in Continuous-Time Finance.)

A Reexamination of the Capital Asset Pricing Model

1977 | Financial Engineering | Book Chapter
Merton, Robert C. “A Reexamination of the Capital Asset Pricing Model.” In Studies in Risk and Return, edited by J. Bicksler and I. Friend. Cambridge, Mass.: Ballinger, 1977.