ROBERT C. MERTON (1944-)
Prêmio Nobel 1997
Economista norte-americano, professor da Harvard University de Massachussets, Robert Mertin obteve o Prêmio Nobel de economia em 1997, compartilhado com Myron S. Scholes, por ter desenvolvido um novo método para determinar o valor dos derivados.
OBRAS
"A Complete Model of Warrant Pricing that Maximizes Utility", with P.A. Samuelson, 1969, Industrial Management Review
"Lifetime Portfolio Selection under Uncertainty: The continuous time case", 1969, REStat
"Optimum Consumption and Portfolio Rules in a Continuous Time Model", 1971, JET
"An Analytic Derivation of the Efficient Portfolio Frontier", 1972, J of Financial and Quantitative Analysis
"An Intertemporal Capital Asset Pricing Model", 1973, Econometrica
"Theory of Rational Option Pricing", 1973, Bell JE
"On the Pricing of Corporate Debt: the risk structure of interest rates", 1974, J of Finance
"The Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making Over Many Periods", with P.A. Samuelson, 1974, J of Financial Econ
"An Asymptotic Theory of Growth under Uncertainty", 1975, RES
"Theory of Finance from the Perspective of Continuous Time", 1975, J of Financial and Quantit Analysis
"Option Pricing when the Underlying Stock Returns are Discontinuous", 1976, J of Financial Econ
"On the Pricing of Contingent Claims and the Modigliani-Miller Theorem", 1977, J of Financial Econ
"A Re-Examination of the Capital Asset Pricing Model", 1977, in Friend and Bicksler, editors, Studies in Risk and Return
"On the Cost of Deposit Insurance when there are Surveillance Costs", 1978, J of Business
"On Estimating Expected Returns on the Market: An exploratory investigation", 1980, J of Financial Econ
"On the Microeconomic Theory of Investment and Certainty", 1982, in Arrow and Intriligator, editors, Handbook of Mathematical Economics: Vol. 2.
"On the Mathematics and Economics Assumptions of Continuous- Time Financial Models", 1982, in Sharpe and Cootner, editors, Financial Economics
"Variance Bounds in a Simple Model of Asset Pricing", 1982, JPE
"Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices", with T. Marsh, 1986, AER
"A Simple Model of Capital Market Equilibrium with Incomplete Information", 1987, J of Finance
"On the Current State of the Stock Market Rationality Hypothesis", 1987, in Fisher, Dornbush and Bossons, editors, Macroeconomics and Finance
"On the Application of Continuous-Time Theory of Finance to Financial Intermediation and Insurance", 1989, Papers on Risk and Insurance
Continuous Time Finance, 1990.