robert c. merton : Citation Profile

Are you robert c. merton?

Massachusetts Institute of Technology (MIT)

34

H index

50

i10 index

21630

Citations

RESEARCH PRODUCTION:

55

Articles

37

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   53 years (1969 - 2022). See details.
   Cites by year: 408
   Journals where robert c. merton has often published
   Relations with other researchers
   Recent citing documents: 1221.    Total self citations: 29 (0.13 %)

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   Permalink: http://citec.repec.org/pme203
   Updated: 2024-12-03    RAS profile: 2024-11-06    
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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 (103)

Platen, Eckhard (55)

Viceira, Luis (54)

Guiso, Luigi (51)

Wang, Neng (51)

Munk, Claus (49)

Escobar Anel, Marcos (47)

Jarrow, Robert (47)

Bollerslev, Tim (46)

Venegas-Martínez, Francisco (46)

Lo, Andrew (45)

Cites to:

Bodie, Zvi (22)

Dybvig, Philip (15)

Longstaff, Francis (14)

Dybvig, Phillip (14)

Jarrow, Robert (12)

Lo, Andrew (12)

Tsomocos, Dimitrios (11)

Kau, James (11)

Chen, Zhiwu (11)

Duffie, Darrell (10)

Stulz, René (10)

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
Carnegie-Rochester Conference Series on Public Policy3
Financial Management3
Financial Analysts Journal3
Journal of Banking & Finance3
Journal of Financial and Quantitative Analysis2
Annual Review of Financial Economics2
American Economic Review2
Bell Journal of Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc18

Recent works citing robert c. merton (2024 and 2023)

YearTitle of citing document
2024Information Acquisition and Individual Investors’ Trading Behavior. (2024). Shen, Kailing ; Luo, Ronghua ; Li, Yaling. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-698.

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2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2023Measuring stock market uncertainty. (2023). Dakey, Prasad Teja. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:149-162.

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2023.

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2023Innovations for the Water Resource Economics Curriculum: Training the Next Generation. (2023). Ward, Frank A. In: Applied Economics Teaching Resources (AETR). RePEc:ags:aaeatr:334692.

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2023Innovations for the Water Resource Economics Curriculum: Training the Next Generation. (2023). Ward, Frank A. In: Applied Economics Teaching Resources (AETR). RePEc:ags:aaeatr:338381.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2023EFFECTS OF INDEX ADDITIONS ON STOCK PRICE INFORMATIVENESS. (2023). Gavrilova, Daria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:gavrilovad.

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2023Corporate Social Responsibility Practices of Banking Sector in Bangladesh: An Evaluation. (2023). Islam, Md Shajedul. In: International Journal of Science and Business. RePEc:aif:journl:v:18:y:2023:i:1:p:153-164.

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2023Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322.

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2023Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence. (2023). Segers, Johan ; Zhuman, Aigerim ; Portier, Franois ; Leluc, Remi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023019.

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2023Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito. (2023). Perillo, Marcelo Fabian. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:11-01.

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2023Optimal investment and consumption with forward preferences and uncertain parameters. (2019). Liang, Gechun ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:1807.01186.

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2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2024The Black-Scholes-Merton dual equation. (2019). Liu, Qiang ; Guo, Shuxin . In: Papers. RePEc:arx:papers:1912.10380.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2023A Framework of Multivariate Utility Optimization with General Benchmarks. (2021). Zhang, Litian ; Liang, Zongxia ; Liu, Yang. In: Papers. RePEc:arx:papers:2101.06675.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2023Intergenerational risk sharing in a collective defined contribution pension system: a simulation study with Bayesian optimization. (2021). Zhang, Fangyuan ; Kanagawa, Motonobu ; Chen, AN. In: Papers. RePEc:arx:papers:2106.13644.

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2024Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2023A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460.

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2024Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2024Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2024Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2023Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

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2023A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2023Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447.

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2024Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2024Black-Scholes Option Pricing Revisited?. (2022). Mink, Mark ; de Weert, Frans J. In: Papers. RePEc:arx:papers:2202.05671.

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2023Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060.

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2023Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053.

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2024Stochastic integral representation of solutions to Hodge theoretic Poissons equations on Graphs, and cooperative value allocation of Shapley and Nash. (2022). Lim, Tongseok. In: Papers. RePEc:arx:papers:2203.06860.

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2023Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108.

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2023Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning. (2022). Yuan, Jun ; Wang, Zeyu ; Poulos, Zissis ; Hull, John ; Farghadani, Soroush ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2205.05614.

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2024The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

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2024Optimal investment strategy to maximize the expected utility of an insurance company under Cramer Lundberg dynamic. (2022). Sikov, A ; Cerda-Hernandez, J. In: Papers. RePEc:arx:papers:2207.02947.

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2024Optimal consumption under a drawdown constraint over a finite horizon. (2022). Yu, Xiang ; Yi, Fahuai ; Li, Xun ; Chen, Xiaoshan. In: Papers. RePEc:arx:papers:2207.07848.

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2023Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model. (2022). Lamotte, Pieter ; In, Karel. In: Papers. RePEc:arx:papers:2207.10060.

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2023Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Jos'e A. Salmer'on, . In: Papers. RePEc:arx:papers:2208.07163.

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2023Modern Tontine with Transaction Costs. (2022). Wang, Sheng ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2209.09709.

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2023Physics-Informed Convolutional Transformer for Predicting Volatility Surface. (2022). Hong, Youngjoon ; Lee, Muhyun ; Bae, Hyeong-Ohk ; Yun, Seok-Bae ; Kim, Soohan. In: Papers. RePEc:arx:papers:2209.10771.

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2023Credit Information in Earnings Calls. (2022). Wu, Hongyu ; Shen, Yiwen ; Mamaysky, Harry. In: Papers. RePEc:arx:papers:2209.11914.

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2023Neural variance reduction for stochastic differential equations. (2022). Tretyakov, M V ; Hinds, P D. In: Papers. RePEc:arx:papers:2209.12885.

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2024The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2024Formation of Optimal Interbank Lending Networks under Liquidity Shocks. (2022). Sircar, Ronnie ; Rigobon, Daniel E. In: Papers. RePEc:arx:papers:2211.12404.

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2023A new encoding of implied volatility surfaces for their synthetic generation. (2022). Bai, Yingbo ; O'Hara, John ; Ventre, Carmine ; Tiranti, Renzo ; Frys, Wojciech ; Gong, Zheng. In: Papers. RePEc:arx:papers:2211.12892.

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2024Endogenous Network Valuation Adjustment and the Systemic Term Structure in a Dynamic Interbank Model. (2022). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2211.15431.

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2023Dynamic and static fund separations and their stability for long-term optimal investments. (2022). Yeo, Heejun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2212.00391.

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2023Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2212.04394.

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2023Consumption Decision, Portfolio Choice and Healthcare Irreversible Investment. (2022). Zhu, Shihao ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2212.05317.

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2024Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2023Fundamental theorem for the pricing of quantum assets. (2022). Rebentrost, Patrick ; Bao, Jinge. In: Papers. RePEc:arx:papers:2212.13815.

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2023Acceptable Bilateral Gamma Parameters. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05333.

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2023Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173.

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2023The Combinational Mutation Strategy of Differential Evolution Algorithm for Pricing Vanilla Options and Its Implementation on Data during Covid-19 Pandemic. (2023). Sumarti, Novriana ; Sidarto, Kuntjoro Adji ; Febrianti, Werry. In: Papers. RePEc:arx:papers:2301.09261.

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2023Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898.

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2023New developments in econophysics: Option pricing formulas. (2023). Alghalith, Moawia. In: Papers. RePEc:arx:papers:2301.11078.

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2023Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2023Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data. (2023). Szwabi, Janusz ; Gruszka, Jaroslaw. In: Papers. RePEc:arx:papers:2302.01816.

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2023Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769.

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2023Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778.

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2023Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models. (2023). Trivellato, Barbara ; Siri, Paola ; Santacroce, Marina. In: Papers. RePEc:arx:papers:2302.08253.

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2024A stochastic control problem arising from relaxed wealth tracking with a monotone benchmark process. (2023). Yu, Xiang ; Huang, Yi Jie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2302.08302.

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2023Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models. (2023). , Andrzej ; Federico, Salvatore ; de Feo, Filippo. In: Papers. RePEc:arx:papers:2302.08809.

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2023Optimal Mix Among PAYGO, EET and Individual Savings. (2023). Song, Yilun ; Ren, Zhaojie ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2302.09218.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Financial Distress Prediction For Small And Medium Enterprises Using Machine Learning Techniques. (2023). Zhou, Jietong ; Jiang, Biao ; Gao, Yuan. In: Papers. RePEc:arx:papers:2302.12118.

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2023Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth. (2023). Li, Jonathan Yu-Meng. In: Papers. RePEc:arx:papers:2302.13979.

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2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968.

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2024Quantum Monte Carlo simulations for financial risk analytics: scenario generation for equity, rate, and credit risk factors. (2023). Nield, Stuart ; Matsakos, Titos. In: Papers. RePEc:arx:papers:2303.09682.

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2023Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483.

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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2024Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2024Filtration Reduction and Completeness in Jump-Diffusion Models. (2023). Jarrow, Robert ; Grigorian, Karen. In: Papers. RePEc:arx:papers:2304.06202.

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2023Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility. (2023). Zhang, Qiang ; Miao, Yingting. In: Papers. RePEc:arx:papers:2304.07672.

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2024An extended Merton problem with relaxed benchmark tracking. (2023). Yu, Xiang ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023Optimal control problems for stochastic processes with absorbing regime. (2023). Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2305.01490.

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2024On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices. (2023). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2305.05998.

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2023Backward Hedging for American Options with Transaction Costs. (2023). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2305.06805.

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2023Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166.

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2024Equity Protection Swaps: An New Type of Insurance for Superannuation. (2023). Liu, Ruyi ; Xu, Huansang. In: Papers. RePEc:arx:papers:2305.09472.

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2023Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678.

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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]		article152
1984Dividend variability and variance bounds tests for the rationality of stock market prices.(1984) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 152		paper
1998Applications of Option-Pricing Theory: Twenty-Five Years Later. In: American Economic Review.
[Full Text][Citation analysis]		article97
1997Applications of Option-Pricing Theory: Twenty-Five Years Later.(1997) In: Nobel Prize in Economics documents.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97		paper
1987In Honor of Nobel Laureate, Franco Modigliani. In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article2
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]		article6
1992FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article106
1993THEORY OF RISK CAPITAL IN FINANCIAL FIRMS In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article102
1973The Relationship Between Put and Call Option Prices: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article21
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]		article4253
1973On the pricing of corporate debt: the risk structure of interest rates.(1973) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4253		paper
1976The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article35
1987 A Simple Model of Capital Market Equilibrium with Incomplete Information. In: Journal of Finance.
[Full Text][Citation analysis]		article1909
1987A simple model of capital market equilibrium with incomplete information.(1987) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1909		paper
1995MARK-TO-MARKET ACCOUNTING FOR BANKS AND THRIFTS - LESSONS FROM THE DANISH EXPERIENCE In: Journal of Accounting Research.
[Full Text][Citation analysis]		article42
2011Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework In: Central Banking, Analysis, and Economic Policies Book Series.
[Full Text][Citation analysis]		chapter3
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2007New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability.(2007) In: NBER Working Papers.
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1984Macroeconomics and finance: The role of the stock market In: Carnegie-Rochester Conference Series on Public Policy.
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1984Macroeconomics and Finance: The Role of the Stock Market.(1984) In: NBER Working Papers.
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1993Reply to Benston and Kaufman In: Carnegie-Rochester Conference Series on Public Policy.
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1992Labor supply flexibility and portfolio choice in a life cycle model In: Journal of Economic Dynamics and Control.
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2022No-fault default, chapter 11 bankruptcy, and financial institutions In: Journal of Banking & Finance.
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1995Financial Innovation and the Management and Regulation of Financial Institutions.(1995) In: NBER Working Papers.
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1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory In: Journal of Banking & Finance.
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2019Customers and investors: A framework for understanding the evolution of financial institutions In: Journal of Financial Intermediation.
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1978On the Cost of Deposit Insurance When There Are Surveillance Costs..(1978) In: The Journal of Business.
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1984Earnings variablility and variance bounds tests for the rationality of stock market prices In: Working papers.
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1982On Consumption-Indexed Public Pension Plans.(1982) In: NBER Working Papers.
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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.
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1988Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs? In: NBER Chapters.
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1993Optimal Investment Strategies for University Endowment Funds In: NBER Chapters.
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1991Optimal Investment Strategies for University Endowment Funds.(1991) In: NBER Working Papers.
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1987Pension Plan Integration As Insurance Against Social Security Risk In: NBER Chapters.
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1984Pension Plan Integration as Insurance Against Social Security Risk.(1984) In: NBER Working Papers.
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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.
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2004The Design of Financial Systems: Towards a Synthesis of Function and Structure In: NBER Working Papers.
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2005DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE.(2005) In: World Scientific Book Chapters.
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2006A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy In: NBER Working Papers.
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2018Trust in Lending In: NBER Working Papers.
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1987Dividend Behavior for the Aggregate Stock Market..(1987) In: The Journal of Business.
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1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. In: The Journal of Business.
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1981On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. In: The Journal of Business.
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1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. In: The Journal of Business.
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