robert c. merton : Citation Profile

Are you robert c. merton?

Massachusetts Institute of Technology (MIT)

31

H index

45

i10 index

15833

Citations

RESEARCH PRODUCTION:

51

Articles

37

Papers

1

Books

10

Chapters

RESEARCH ACTIVITY:

   52 years (1969 - 2021). See details.
   Cites by year: 304
   Journals where robert c. merton has often published
   Relations with other researchers
   Recent citing documents: 866.    Total self citations: 26 (0.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme203
   Updated: 2021-02-20    RAS profile: 2020-06-30    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Thakor, Richard (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with robert c. merton.

Is cited by:

Campbell, John (88)

Viceira, Luis (50)

Platen, Eckhard (48)

Guo, Hui (45)

Munk, Claus (45)

Wang, Neng (42)

Jarrow, Robert (40)

Guiso, Luigi (39)

Bollerslev, Tim (37)

McAleer, Michael (36)

Menoncin, Francesco (35)

Cites to:

Bodie, Zvi (17)

Dybvig, Philip (14)

Dybvig, Phillip (13)

Jarrow, Robert (12)

Chen, Zhiwu (11)

Kau, James (11)

Longstaff, Francis (11)

Duffie, Darrell (10)

Lo, Andrew (10)

Gorton, Gary (9)

Marcus, Alan (9)

Main data

Where robert c. merton has published?

Journals with more than one article published# docs
Journal of Financial Economics6
The Journal of Business6
Journal of Finance5
Journal of Applied Corporate Finance4
Financial Management3
Carnegie-Rochester Conference Series on Public Policy3
Journal of Financial and Quantitative Analysis2
Bell Journal of Economics2
Journal of Banking & Finance2
Annual Review of Financial Economics2
American Economic Review2

Recent works citing robert c. merton (2021 and 2020)

YearTitle of citing document
2020Option pricing in illiquid markets: a fractional jump-diffusion approach. (2020). Leonenko, Nikolai ; Hainaut, Donatien. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2020003.

Full description at Econpapers || Download paper

2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

Full description at Econpapers || Download paper

2020Googlization and retail investors trading activity. (2020). D'Hondt, Catherine ; Desagre, Christophe. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020004.

Full description at Econpapers || Download paper

2020Toward a macroprudential regulatory framework for mutual funds. (2020). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020008.

Full description at Econpapers || Download paper

2020ARE SMALL STOCKS ILLIQUID? AN EXAMINATION OF LIQUIDITY-IMPROVING EVENTS. (2020). Al-Haji, Ahmad. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202068.

Full description at Econpapers || Download paper

2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

Full description at Econpapers || Download paper

2020Hilbert transform, spectral filtering and option pricing. (2017). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:1706.09755.

Full description at Econpapers || Download paper

2020Modulated Information Flows on Random Point Fields. (2018). Menguturk, Levent A ; Macrina, Andrea ; Hoyle, Edward . In: Papers. RePEc:arx:papers:1708.06948.

Full description at Econpapers || Download paper

2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2020Option Pricing with Greed and Fear Factor: The Rational Finance Approach. (2017). Fabozzi, Frank ; Racheva-Iotova, Boryana. In: Papers. RePEc:arx:papers:1709.08134.

Full description at Econpapers || Download paper

2020Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

Full description at Econpapers || Download paper

2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

Full description at Econpapers || Download paper

2021Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128.

Full description at Econpapers || Download paper

2020High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

Full description at Econpapers || Download paper

2020A Generalized Framework for Simultaneous Long-Short Feedback Trading. (2018). Burke, Kevin ; O'Brien, Joseph D. In: Papers. RePEc:arx:papers:1806.05561.

Full description at Econpapers || Download paper

2020Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

Full description at Econpapers || Download paper

2020Classifying Markets up to Isomorphism. (2019). Armstrong, John. In: Papers. RePEc:arx:papers:1810.03546.

Full description at Econpapers || Download paper

2020Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762.

Full description at Econpapers || Download paper

2020Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420.

Full description at Econpapers || Download paper

2020Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

Full description at Econpapers || Download paper

2020Portfolio optimization with two coherent risk measures. (2019). Ararat, Ccaugin ; Akturk, Tahsin Deniz. In: Papers. RePEc:arx:papers:1903.10454.

Full description at Econpapers || Download paper

2020The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

Full description at Econpapers || Download paper

2020A weighted finite difference method for subdiffusive Black Scholes Model. (2019). Plociniczak, Lukasz ; Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1907.00297.

Full description at Econpapers || Download paper

2020Optimal Investment with Correlated Stochastic Volatility Factors. (2019). Fouque, Jean-Pierre ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1908.07626.

Full description at Econpapers || Download paper

2020Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence. (2019). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:1909.01830.

Full description at Econpapers || Download paper

2020Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602.

Full description at Econpapers || Download paper

2020A varying terminal time mean-variance model. (2019). Yang, Shuzhen. In: Papers. RePEc:arx:papers:1909.13102.

Full description at Econpapers || Download paper

2020Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902.

Full description at Econpapers || Download paper

2020Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset. (2019). Bordag, Ljudmila A. In: Papers. RePEc:arx:papers:1910.07417.

Full description at Econpapers || Download paper

2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

Full description at Econpapers || Download paper

2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

Full description at Econpapers || Download paper

2020Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526.

Full description at Econpapers || Download paper

2020Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion. (2019). Hicks, Will. In: Papers. RePEc:arx:papers:1911.11475.

Full description at Econpapers || Download paper

2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

Full description at Econpapers || Download paper

2020Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455.

Full description at Econpapers || Download paper

2021Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651.

Full description at Econpapers || Download paper

2020Option Pricing in an Investment Risk-Return Setting. (2020). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.00737.

Full description at Econpapers || Download paper

2020Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443.

Full description at Econpapers || Download paper

2020Change of measure under the hard-to-borrow model. (2020). Liu, Peng. In: Papers. RePEc:arx:papers:2001.10384.

Full description at Econpapers || Download paper

2020Structured climate financing: valuation of CDOs on inhomogeneous asset pools. (2020). Packham, N. In: Papers. RePEc:arx:papers:2001.11891.

Full description at Econpapers || Download paper

2020Optimal portfolio choice with path dependent labor income: the infinite horizon case. (2020). Gozzi, Fausto ; Prosdocimi, Cecilia ; Biffis, Enrico. In: Papers. RePEc:arx:papers:2002.00201.

Full description at Econpapers || Download paper

2020Pricing Bitcoin Derivatives under Jump-Diffusion Models. (2020). Olivares, Pablo. In: Papers. RePEc:arx:papers:2002.07117.

Full description at Econpapers || Download paper

2020Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492.

Full description at Econpapers || Download paper

2020The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531.

Full description at Econpapers || Download paper

2020Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202.

Full description at Econpapers || Download paper

2020G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning. (2020). Halperin, Igor ; Dixon, Matthew. In: Papers. RePEc:arx:papers:2002.10990.

Full description at Econpapers || Download paper

2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

Full description at Econpapers || Download paper

2020Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

Full description at Econpapers || Download paper

2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

Full description at Econpapers || Download paper

2020On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (2020). Sevcovic, Daniel ; Cruz, Jose. In: Papers. RePEc:arx:papers:2003.03851.

Full description at Econpapers || Download paper

2020A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358.

Full description at Econpapers || Download paper

2020Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497.

Full description at Econpapers || Download paper

2020Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903.

Full description at Econpapers || Download paper

2020Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302.

Full description at Econpapers || Download paper

2020An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934.

Full description at Econpapers || Download paper

2020Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds. (2020). Buescu, Cristin ; Armstrong, John. In: Papers. RePEc:arx:papers:2004.01506.

Full description at Econpapers || Download paper

2020Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330.

Full description at Econpapers || Download paper

2021Quantification of Risk in Classical Models of Finance. (2020). Schlotter, Ruben ; Pichler, Alois. In: Papers. RePEc:arx:papers:2004.04397.

Full description at Econpapers || Download paper

2020Awareness of crash risk improves Kelly strategies in simulated financial time series. (2020). Sornette, Didier ; Kreuser, Jerome ; Gerlach, Jan-Christian. In: Papers. RePEc:arx:papers:2004.09368.

Full description at Econpapers || Download paper

2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

Full description at Econpapers || Download paper

2020On the multiplicity of the martingale condition: Spontaneous symmetry breaking in Quantum Finance. (2020). Tse, Alan Ching-Biu ; Au, Alan ; Arraut, Ivan. In: Papers. RePEc:arx:papers:2004.11270.

Full description at Econpapers || Download paper

2020Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive. (2020). Dagpunar, John. In: Papers. RePEc:arx:papers:2005.00715.

Full description at Econpapers || Download paper

2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

Full description at Econpapers || Download paper

2020Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904.

Full description at Econpapers || Download paper

2020Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576.

Full description at Econpapers || Download paper

2020A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting. (2020). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2005.10504.

Full description at Econpapers || Download paper

2020Optimal Investing after Retirement Under Time-Varying Risk Capacity Constraint. (2020). Zhu, Zimu ; Tian, Weidong. In: Papers. RePEc:arx:papers:2005.13741.

Full description at Econpapers || Download paper

2020A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063.

Full description at Econpapers || Download paper

2020Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time. (2020). Yu, Xun ; Jin, Hanqing ; Hu, Ying. In: Papers. RePEc:arx:papers:2006.01979.

Full description at Econpapers || Download paper

2020Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014.

Full description at Econpapers || Download paper

2021Duality for optimal consumption under no unbounded profit with bounded risk. (2020). Monoyios, Michael. In: Papers. RePEc:arx:papers:2006.04687.

Full description at Econpapers || Download paper

2020An elementary approach to the Merton problem. (2020). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2006.05260.

Full description at Econpapers || Download paper

2020Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223.

Full description at Econpapers || Download paper

2020Why Stake When You Can Borrow?. (2020). Evans, Alex ; Chitra, Tarun. In: Papers. RePEc:arx:papers:2006.11156.

Full description at Econpapers || Download paper

2020Optimal Hedging in Incomplete Markets. (2020). Hughston, Lane P ; Bouzianis, George. In: Papers. RePEc:arx:papers:2006.12989.

Full description at Econpapers || Download paper

2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

Full description at Econpapers || Download paper

2020Expectation and Price in Incomplete Markets. (2020). McCloud, Paul. In: Papers. RePEc:arx:papers:2006.16703.

Full description at Econpapers || Download paper

2020Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511.

Full description at Econpapers || Download paper

2020Hedging using reinforcement learning: Contextual $k$-Armed Bandit versus $Q$-learning. (2020). Nuti, Giuseppe ; Cannelli, Loris ; Szehr, Oleg ; Sala, Marzio. In: Papers. RePEc:arx:papers:2007.01623.

Full description at Econpapers || Download paper

2020Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207.

Full description at Econpapers || Download paper

2021Perpetual American options with asset-dependent discounting. (2020). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: Papers. RePEc:arx:papers:2007.09419.

Full description at Econpapers || Download paper

2020A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328.

Full description at Econpapers || Download paper

2020Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2007.15128.

Full description at Econpapers || Download paper

2020Crowd, Lending, Machine, and Bias. (2020). Singh, Paramvir ; Huang, Yan ; Fu, Runshan. In: Papers. RePEc:arx:papers:2008.04068.

Full description at Econpapers || Download paper

2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

Full description at Econpapers || Download paper

2020Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

Full description at Econpapers || Download paper

2020XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368.

Full description at Econpapers || Download paper

2020Deep Replication of a Runoff Portfolio. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2009.05034.

Full description at Econpapers || Download paper

2020Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model. (2020). Contreras, Mauricio. In: Papers. RePEc:arx:papers:2009.09329.

Full description at Econpapers || Download paper

2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

Full description at Econpapers || Download paper

2020Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092.

Full description at Econpapers || Download paper

2020Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift. (2020). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:2009.14559.

Full description at Econpapers || Download paper

2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

Full description at Econpapers || Download paper

2020Derivatives Pricing in Non-Arbitrage Market. (2020). Gonchar, N S. In: Papers. RePEc:arx:papers:2010.13630.

Full description at Econpapers || Download paper

2020Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102.

Full description at Econpapers || Download paper

2020Generalised geometric Brownian motion: Theory and applications to option pricing. (2020). Stojkoski, Viktor ; Metzler, Ralf ; Kocarev, Ljupco ; Basnarkov, Lasko ; Sandev, Trifce . In: Papers. RePEc:arx:papers:2011.00312.

Full description at Econpapers || Download paper

2020Asset Allocation via Machine Learning and Applications to Equity Portfolio Management. (2020). Hong, Zhenning ; Yang, Qing ; Zhang, Liangliang ; Ye, Tingting ; Tian, Ruyan. In: Papers. RePEc:arx:papers:2011.00572.

Full description at Econpapers || Download paper

2020Competition in Fund Management and Forward Relative Performance Criteria. (2020). Anthropelos, Michail ; Geng, Tianran ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:2011.00838.

Full description at Econpapers || Download paper

2020The importance of dynamic risk constraints for limited liability operators. (2020). Brigo, Damiano ; Armstrong, John ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:2011.03314.

Full description at Econpapers || Download paper

2020Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model. (2020). Jarrow, Robert A ; Zhu, Liao ; Wells, Martin T. In: Papers. RePEc:arx:papers:2011.04171.

Full description at Econpapers || Download paper

2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by robert c. merton:

YearTitleTypeCited
1986Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices. In: American Economic Review.
[Full Text][Citation analysis]		article128
1984Dividend variability and variance bounds tests for the rationality of stock market prices.(1984) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128		paper
1998Applications of Option-Pricing Theory: Twenty-Five Years Later. In: American Economic Review.
[Full Text][Citation analysis]		article65
1997Applications of Option-Pricing Theory: Twenty-Five Years Later.(1997) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
1987In Honor of Nobel Laureate, Franco Modigliani. In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article0
2009Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2013Fischer Black In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2005A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article0
2006Allocating Shareholder Capital to Pension Plans In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article3
1992FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article78
1993THEORY OF RISK CAPITAL IN FINANCIAL FIRMS In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article86
1973The Relationship Between Put and Call Option Prices: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article18
1974Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions. In: Journal of Finance.
[Full Text][Citation analysis]		article4
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. In: Journal of Finance.
[Full Text][Citation analysis]		article3101
1973On the pricing of corporate debt: the risk structure of interest rates.(1973) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3101		paper
1976The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article30
1987 A Simple Model of Capital Market Equilibrium with Incomplete Information. In: Journal of Finance.
[Full Text][Citation analysis]		article1301
1987A simple model of capital market equilibrium with incomplete information.(1987) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1301		paper
1995MARK-TO-MARKET ACCOUNTING FOR BANKS AND THRIFTS - LESSONS FROM THE DANISH EXPERIENCE In: Journal of Accounting Research.
[Full Text][Citation analysis]		article14
2011Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]		chapter1
2009New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability In: Working Papers Central Bank of Chile.
[Full Text][Citation analysis]		paper57
2007New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
1975Theory of Finance from the Perspective of Continuous Time In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article19
1972An Analytic Derivation of the Efficient Portfolio Frontier In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article209
2002International pension swaps In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article20
2007Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
1973An Intertemporal Capital Asset Pricing Model. In: Econometrica.
[Full Text][Citation analysis]		article1705
1984Macroeconomics and finance: The role of the stock market In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article95
1984Macroeconomics and Finance: The Role of the Stock Market.(1984) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 95		paper
1993Deposit insurance reform: a functional approach In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article12
1993Reply to Benston and Kaufman In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article0
1992Labor supply flexibility and portfolio choice in a life cycle model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article402
1992Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.(1992) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 402		paper
1995Financial innovation and the management and regulation of financial institutions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article89
1995Financial Innovation and the Management and Regulation of Financial Institutions.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89		paper
1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article326
1971Optimum consumption and portfolio rules in a continuous-time model In: Journal of Economic Theory.
[Full Text][Citation analysis]		article1432
1970Optimum Consumption and Portfolio Rules in a Continuous-time Model.(1970) In: Working papers.
[Citation analysis]
This paper has another version. Agregated cites: 1432		paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article34
2010Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods In: Journal of Financial Economics.
[Full Text][Citation analysis]		article43
1976Option pricing when underlying stock returns are discontinuous In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1344
1975Option pricing when underlying stock returns are discontinuous.(1975) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1344		paper
1977On the pricing of contingent claims and the Modigliani-Miller theorem In: Journal of Financial Economics.
[Full Text][Citation analysis]		article74
2006Do a firms equity returns reflect the risk of its pension plan? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article16
2004Do a Firms Equity Returns Reflect the Risk of Its Pension Plan?.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1980On estimating the expected return on the market : An exploratory investigation In: Journal of Financial Economics.
[Full Text][Citation analysis]		article822
1980On Estimating the Expected Return on the Market: An Exploratory Investigation.(1980) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 822		paper
2019Customers and investors: A framework for understanding the evolution of financial institutions In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article7
1993On the microeconomic theory of investment under uncertainty In: Handbook of Mathematical Economics.
[Full Text][Citation analysis]		chapter4
1977On the microeconomic theory of investment under uncertainty.(1977) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
1990Capital market theory and the pricing of financial securities In: Handbook of Monetary Economics.
[Full Text][Citation analysis]		chapter5
1986Capital market theory and the pricing of financial securities.(1986) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2008Asset Management in Volatile Markets In: SUERF Studies.
[Full Text][Citation analysis]		book0
1992On the Management of Financial Guarantees In: Financial Management.
[Citation analysis]		article38
1995A Functional Perspective of Financial Intermediation In: Financial Management.
[Citation analysis]		article75
2000Speeches by Nobel Laureates In: Financial Management.
[Citation analysis]		article0
1973An asymptotic theory of growth under uncertainty, In: Working papers.
[Full Text][Citation analysis]		paper127
1975An Asymptotic Theory of Growth Under Uncertainty.(1975) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		article
1976Continuous-time portfolio theory and the pricing of contingent claims In: Working papers.
[Full Text][Citation analysis]		paper0
1977On the cost of deposit insurance when there are surveillance costs In: Working papers.
[Full Text][Citation analysis]		paper103
1978On the Cost of Deposit Insurance When There Are Surveillance Costs..(1978) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103		article
1984Earnings variablility and variance bounds tests for the rationality of stock market prices In: Working papers.
[Full Text][Citation analysis]		paper1
1985On the current state of the stock market rationality hypothesis In: Working papers.
[Full Text][Citation analysis]		paper20
1983On Consumption Indexed Public Pension Plans In: NBER Chapters.
[Full Text][Citation analysis]		chapter9
1982On Consumption-Indexed Public Pension Plans.(1982) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
1983On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable In: NBER Chapters.
[Full Text][Citation analysis]		chapter51
1988Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs? In: NBER Chapters.
[Full Text][Citation analysis]		chapter31
1985Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
1993Optimal Investment Strategies for University Endowment Funds In: NBER Chapters.
[Full Text][Citation analysis]		chapter5
1991Optimal Investment Strategies for University Endowment Funds.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1987Pension Plan Integration As Insurance Against Social Security Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter10
1984Pension Plan Integration as Insurance Against Social Security Risk.(1984) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
1981On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable In: NBER Working Papers.
[Full Text][Citation analysis]		paper29
2004The Design of Financial Systems: Towards a Synthesis of Function and Structure In: NBER Working Papers.
[Full Text][Citation analysis]		paper38
2005DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE.(2005) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		chapter
2006A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2015Customers and Investors: A Framework for Understanding Financial Institutions In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2018Trust in Lending In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2021No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2003Transparency, Risk Management and International Financial Fragility In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2006The Derivatives Sourcebook In: Foundations and Trends(R) in Finance.
[Full Text][Citation analysis]		article0
1997A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries In: Review of Finance.
[Full Text][Citation analysis]		article3
2020SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT In: Journal of Financial Transformation.
[Full Text][Citation analysis]		article0
1998Autobiography In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]		paper0
2004Interview with Nobel Prize Laureate Robert C. Merton In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]		paper0
1973Theory of Rational Option Pricing In: Bell Journal of Economics.
[Full Text][Citation analysis]		article1826
2005Theory of rational option pricing.(2005) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1826		chapter
1974The Optimality of a Competitive Stock Market In: Bell Journal of Economics.
[Full Text][Citation analysis]		article1
2006Paul Samuelson and Financial Economics In: The American Economist.
[Full Text][Citation analysis]		article5
2014ADBs Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management In: Asian Development Review.
[Full Text][Citation analysis]		article2
1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article1157
1986Dividend Behavior for the Aggregate Stock Market. In: Research Program in Finance Working Papers.
[Citation analysis]		paper80
1987Dividend Behavior for the Aggregate Stock Market..(1987) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80		article
1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. In: The Journal of Business.
[Full Text][Citation analysis]		article25
1981On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. In: The Journal of Business.
[Full Text][Citation analysis]		article185
1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. In: The Journal of Business.
[Full Text][Citation analysis]		article411
1982The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. In: The Journal of Business.
[Full Text][Citation analysis]		article12

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team