Robert C Merton
Biographic Data
| ID | 1047729 |
|---|---|
| NAME | Robert C Merton |
| GIVEN NAMES | Robert C |
| FAMILY NAME | Merton |
| SIGNATURE | MERTON R C |
| AFFILIATIONS | Massachusetts Institute of Technology |
| VERIFIED | No |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 1 |
| AUTHOR COUNT | 8 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1966 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 1 |
Trust in Lending
We develop a theory of trust in lending that distinguishes between reputation and trust. Banks emerge as more trusted lenders than non-banks. We show that trust severs the link between performance and the cost and availability of financing for lenders, but trust can be lost and is difficult to regain. Banks survive an erosion of trust better than non-banks. Banks' trust advantage arises from the lower cost of funding due to insured deposits and a…
Continuous-Time Finance
Journal Article Continuous-Time Finance Get access Continuous-Time Finance. By ROBERT C. MERTON. (Oxford: Basil Blackwell, 1990. Pp. xix + 700. à £60.00 hardback. ISBN o 631 15847 2). Michael J. P. Selby Michael J. P. Selby The London School of Economics Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 101, Issue 406, 1 May 1991, Pages 643–644, https://doi.org/10.2307/2233573 Published: 01 May …
In Honor of Nobel Laureate, Franco Modigliani
When Gary Becker asked me to introduce Franco Modigliani on this occasion celebrating Franco's Nobel Prize, he noted that, by tradition, the honoree does not speak. It is the introducer who speaks, devoting 30 minutes or so to the laureate's chief contributions to economics. Now, I know of no meeting of economists attended by Franco where he didn't speak. But this occasion is designed to do Franco Modigliani honor, rather than delegate him to per…
An Intertemporal Capital Asset Pricing Model
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current demands are affected by the possibility of uncertain changes in future investment opportunities. After…
Theory of Rational Option Pricing
Optimum consumption and portfolio rules in a continuous-time model
Lifetime Portfolio Selection under Uncertainty
OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and these returns or instantaneous growth rates are stochastic. P. A. Samuelson has developed a similar model in discrete-time for more general probability distributions in a companion paper [8]. I derive…
The "Motionless" Motion of Swift's Flying Island
The "Motionless" Motion of Swift's Flying Island
Lifetime Portfolio Selection under Uncertainty
OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and these returns or instantaneous growth rates are stochastic. P. A. Samuelson has developed a similar model in discrete-time for more general probability distributions in a companion paper [8]. I derive…
Optimum consumption and portfolio rules in a continuous-time model
An Intertemporal Capital Asset Pricing Model
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current demands are affected by the possibility of uncertain changes in future investment opportunities. After…
Theory of Rational Option Pricing
In Honor of Nobel Laureate, Franco Modigliani
When Gary Becker asked me to introduce Franco Modigliani on this occasion celebrating Franco's Nobel Prize, he noted that, by tradition, the honoree does not speak. It is the introducer who speaks, devoting 30 minutes or so to the laureate's chief contributions to economics. Now, I know of no meeting of economists attended by Franco where he didn't speak. But this occasion is designed to do Franco Modigliani honor, rather than delegate him to per…
Continuous-Time Finance
Journal Article Continuous-Time Finance Get access Continuous-Time Finance. By ROBERT C. MERTON. (Oxford: Basil Blackwell, 1990. Pp. xix + 700. à £60.00 hardback. ISBN o 631 15847 2). Michael J. P. Selby Michael J. P. Selby The London School of Economics Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 101, Issue 406, 1 May 1991, Pages 643–644, https://doi.org/10.2307/2233573 Published: 01 May …
Trust in Lending
We develop a theory of trust in lending that distinguishes between reputation and trust. Banks emerge as more trusted lenders than non-banks. We show that trust severs the link between performance and the cost and availability of financing for lenders, but trust can be lost and is difficult to regain. Banks survive an erosion of trust better than non-banks. Banks' trust advantage arises from the lower cost of funding due to insured deposits and a…
Economics (6 works) · Computer Science (3 works) · Economic theories and models (3 works) · Financial economics (3 works) · Stochastic processes and financial applications (3 works) · Corporate Finance and Governance (2 works) · Econometrics (2 works) · Financial Markets and Investment Strategies (2 works) · Law and economics (2 works) · Microeconomics (2 works)