Publications

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Theory of Finance from the Perspective of Continuous Time

November 1975 | Continuous-Time Finance | Paper
Merton, Robert C. “Theory of Finance from the Perspective of Continuous Time” Journal of Financial and Quantitative Analysis 10 (November 1975): 659-674.

An Asymptotic Theory of Growth Under Uncertainty

July 1975 | Miscellaneous | Paper
Merton, Robert C. “An Asymptotic Theory of Growth Under Uncertainty.” Review of Economic Studies 42, no. 3 (July 1975): 375-393. (Chapter 17 in Continuous-Time Finance.)

Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods

May 1974 | Financial Engineering | Paper
Merton, Robert C., and Paul A. Samuelson. "Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods." Journal of Financial Economics 1 (May 1974): 67-94.

Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions

March 1974 | Financial Engineering | Paper
Samuelson, Paul A., and Robert C. Merton. “Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions.” Journal of Finance 29, no. 1 (March 1974): 27-40.

“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.

May 1974 | Risk Management/Stocks | Paper
Merton, Robert C. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance 29, no. 2 (May 1974): 449-470. (Chapter 12 in Continuous-Time Finance.)

The Optimality of a Competitive Stock Market

Spring 1974 | Risk Management/Stocks | Paper
Merton, Robert C., and Marti G. Subrahmanyam. “The Optimality of a Competitive Stock Market.” Bell Journal of Economics and Management Science 5, no. 1 (spring 1974): 145-170

Continuous-Time Speculative Processes

January 1973 | Continuous-Time Finance | Paper
Merton, Robert C. “Continuous-Time Speculative Processes”: Appendix to Paul A. Samuelson's “Mathematics of Speculative Price”. SIAM Review 15 (January 1973): 34-38