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Financial Analysts Journal Volume 74, 2018 - Issue 1
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Interview

An Interview with Nobel Laureate Robert C. Merton

Mark P. Kritzman Mark P. Kritzman, CFA, is a founding partner and CEO at Windham Capital Management, Boston.
, CFA &
Robert C. Merton Robert C. Merton is the School of Management Distinguished Professor of Finance at Massachusetts Institute of Technology and the John and Natty McArthur University Professor Emeritus at Harvard University, Cambridge, Massachusetts.
Pages 12-20 | Published online: 12 Dec 2018

References

  • Arrow, Kenneth J.. 1953. “Le rôle des valeurs boursières pour la repetition la meilleure des risques.” Econometrie, Vol. 11. Translated as "The Role of Securities in the Optimal Allocation of Risk-Bearing." Review of Economic Studies, Vol. 31, No. 2 (April 1964): 91-96.
  • Black, Fischer, and Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, vol. 81, no. 3 (May-June): 637–654.
  • Merton, Robert C.. 1968. “Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions.” Mimeo, Massachusetts Institute of Technology (August).
  • Merton, Robert C.. 1969. “Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case.” Review of Economics and Statistics, Vol. 51, No. 3 (August): 247-257; reprinted as Chapter 4 in Merton, Continuous-Time Finance (Blackwell, 1992).
  • Merton, Robert C.. 1970. “Analytical Optimal Control Theory as Applied to Stochastic and Nonstochastic Economics.” PhD dissertation, Department of Economics, Massachusetts Institute of Technology.
  • Merton, Robert C.. 1971. “Optimum Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory, Vol. 3, No. 4 (December): 373-413; reprinted as Chapter 5 in Merton, Continuous-Time Finance (Blackwell, 1992).
  • Merton, Robert C.. 1973. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, vol. 4, no. 1 (Spring): 141–183.
  • Merton, Robert C.. 1975. “The Theory of Finance from the Perspective of Continuous Time.” Journal of Financial and Quantitative Analysis, vol. 10, no. 4 (November): 659–674.
  • Merton, Robert C. 1982. . “On the Mathematics and Economic Assumptions of Continuous-Time Financial Models.” In Financial Economics: Essays in Honor of Paul Cootner, edited by William F. Sharpe and Cathryn M. Cootner. Englewood Cliffs, NJ: Prentice Hall; reprinted as Chapter 3 in Merton, Continuous-Time Finance (Blackwell, 1992).
  • Merton, Robert C.. 1992. Continuous-Time Finance rev. ed. Oxford, UK: Blackwell.
  • Samuelson, Paul A.. 1965. “Rational Theory of Warrant Pricing.” Industrial Management Review, vol. 6, no. 2 (Spring): 13–39.
  • Samuelson, Paul A.. 1969. “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistics, vol. 51, no. 3 (August): 239–246.
  • Samuelson, Paul A., and Robert C. Merton. 1969. “A Complete Model of Warrant Pricing That Maximizes Utility.” Industrial Management Review, Vol. 10, No. 2 (Winter): 17-46; reprinted as Chapter 7 in Merton, Continuous-Time Finance (Blackwell, 1992).

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