Publications

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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.

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.

Book Review of Studies in the Theory of Capital Markets

May 1973 | Financial Engineering | Paper
Merton, Robert C. “Book Review of Studies in the Theory of Capital Markets” edited by M.C. Jensen. Journal of Money, Credit & Banking 5, no. 2 (May 1973): 729-730.

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.)

A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate

December 1969 | Financial Engineering | Paper
Merton, Robert C. “A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate.” Western Economic Journal 4 (December 1969): 307-318. (Chapter III of Ph.D. dissertation.)