Publications

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The Returns and Risk of Alternative Put Option Portfolio Investment Strategies

January 1982 | Derivatives/Options | Paper
Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. “The Returns and Risk of Alternative Put Option Portfolio Investment Strategies.” Journal of Business 55 (January 1982): 183-242.

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.

Capital Requirements in the Regulation of Financial Intermediaries: A Discussion

1979 | Miscellaneous | Book Chapter
Merton, Robert C. “Capital Requirements in the Regulation of Financial Intermediaries: A Discussion.” In Proceedings: The Regulation of Financial Institutions. Conference Series #21. Federal Reserve Bank of Boston, 1979.

On the Cost of Deposit Insurance When There Are Surveillance Costs

July 1978 | Continuous-Time Finance | Paper
Merton, Robert C. “"On the Cost of Deposit Insurance When There Are Surveillance Costs.” Journal of Business 51, no. 3 (July 1978): 439-452. (Chapter 20 in Continuous-Time Finance.)