robert c. merton : Citation Profile

Massachusetts Institute of Technology (MIT)

35

H index

50

i10 index

22533

Citations

RESEARCH PRODUCTION:

55

Articles

37

Papers

1

Books

11

Chapters

RESEARCH ACTIVITY:

   53 years (1969 - 2022). See details.
   Cites by year: 425
   Journals where robert c. merton has often published
   Relations with other researchers
   Recent citing documents: 1157.    Total self citations: 29 (0.13 %)

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   Permalink: http://citec.repec.org/pme203
   Updated: 2025-11-22    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Thakor, Richard (2)

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)

Escobar Anel, Marcos (52)

Guiso, Luigi (51)

Wang, Neng (51)

Munk, Claus (49)

Jarrow, Robert (47)

Härdle, Wolfgang (47)

Venegas-Martínez, Francisco (46)

Bollerslev, Tim (46)

Cites to:

Bodie, Zvi (22)

Dybvig, Philip (15)

Dybvig, Phillip (14)

Longstaff, Francis (14)

Lo, Andrew (12)

Jarrow, Robert (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
The Journal of Business6
Journal of Financial Economics6
Journal of Finance5
Journal of Applied Corporate Finance4
Financial Analysts Journal3
Carnegie-Rochester Conference Series on Public Policy3
Financial Management3
Journal of Banking & Finance3
Journal of Financial and Quantitative Analysis2
Bell Journal of Economics2
American Economic Review2
Annual Review of Financial 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 (2025 and 2024)

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

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

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024The Informational Role of Trading Volume in Thinly Traded Options Markets. (2024). Choe, Kyoungin ; Goodwin, Barry K. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343732.

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2024Fisheries Diversification and Local Economic Stability: Evidence from Alaskan Fishing Communities. (2024). Reimer, Matthew ; Kim, Kyumin. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343874.

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2024Affine Heston model style with self-exciting jumps and long memory. (2024). Hainaut, Donatien ; Leunga, Charles Guy. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024001.

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

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

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2024Post-Last Exit Time Process and its Application to Loss-Given-Default Distribution. (2024). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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

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

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2024Optimal consumption with loss aversion and reference to past spending maximum. (2024). Li, Xun ; Yu, Xiang ; Zhang, Qinyi. In: Papers. RePEc:arx:papers:2108.02648.

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

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2024Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

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

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2025Mean-Covariance Robust Risk Measurement. (2023). Nguyen, Viet Anh ; Abadeh, Soroosh Shafieezadeh ; Kuhn, Daniel ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2112.09959.

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

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2025From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems. (2025). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300.

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2024Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?. (2024). Mink, Mark ; de Weert, Frans J. In: Papers. RePEc:arx:papers:2202.05671.

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2025Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments. (2025). Rebentrost, Patrick ; Yu, Jeong. In: Papers. RePEc:arx:papers:2203.04924.

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2024Cooperative networks and Hodge-Shapley value. (2024). Lim, Tongseok. In: Papers. RePEc:arx:papers:2203.06860.

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

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2024An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels. (2024). Cerda-Hernandez, J ; Sikov, A. In: Papers. RePEc:arx:papers:2207.02947.

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

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2024The law of one price in quadratic hedging and mean-variance portfolio selection. (2024). Černý, Aleš ; 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. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2025Optimal investment with insider information using Skorokhod & Russo-Vallois integration. (2024). Ichiba, Tomoyuki ; Elizalde, Mauricio ; Escudero, Carlos. In: Papers. RePEc:arx:papers:2211.07471.

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

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2025Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today. (2025). Feinstein, Zachary ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:2211.15431.

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2025Does Peer-Reviewed Research Help Predict Stock Returns?. (2025). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2025Utility-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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2024Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets. (2024). Lin, Minglian ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2302.06778.

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2024Stochastic control problems with state-reflections arising from relaxed benchmark tracking. (2024). Huang, Yijie ; Yu, Xiang ; Bo, Lijun. In: Papers. RePEc:arx:papers:2302.08302.

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

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

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

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2025An extended Merton problem with relaxed benchmark tracking. (2025). Huang, Yijie ; Yu, Xiang ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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

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

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2024Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity. (2024). Carassus, Laurence ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:2306.01503.

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2024Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk. (2024). Francisco, Juan Jose ; Buescu, Cristin. In: Papers. RePEc:arx:papers:2308.10568.

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2024Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2024Fourier Neural Network Approximation of Transition Densities in Finance. (2024). Du, Rong ; Dang, Duy-Minh. In: Papers. RePEc:arx:papers:2309.03966.

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2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2025). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2025Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Zhu, Shihao ; Ferrari, Giorgio ; Chen, AN. In: Papers. RePEc:arx:papers:2312.02943.

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2025Learning Mertons Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration. (2023). Dong, Yuchao ; Jia, Yanwei ; Yu, Xun ; Dai, Min. In: Papers. RePEc:arx:papers:2312.11797.

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2024Stochastic Control Barrier Functions for Economics. (2024). van Wijk, David. In: Papers. RePEc:arx:papers:2312.12612.

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2024Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks. (2024). de Felice, Lewis ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2312.14355.

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2024Time-inconsistent mean field and n-agent games under relative performance criteria. (2024). Liang, Zongxia ; Zhang, Keyu. In: Papers. RePEc:arx:papers:2312.14437.

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2025A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models. (2025). Georgoulis, Emmanuil H ; Smaragdakis, Costas ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2401.06740.

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2024Dynamic portfolio selection under generalized disappointment aversion. (2024). Liang, Zongxia ; Wang, Sheng ; Xia, Jianming ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2401.08323.

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2024Consistent asset modelling with random coefficients and switches between regimes. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix L. In: Papers. RePEc:arx:papers:2401.09955.

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2024Data-driven Option Pricing. (2024). Yang, XI ; Dai, Min ; Jin, Hanqing. In: Papers. RePEc:arx:papers:2401.11158.

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2024The Risk-Return Relation in the Corporate Loan Market. (2024). Duran, Miguel. In: Papers. RePEc:arx:papers:2401.12315.

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2024A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation. (2024). Liang, Zongxia ; Zhang, Keyu. In: Papers. RePEc:arx:papers:2401.15659.

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2024Portfolio Optimization under Transaction Costs with Recursive Preferences. (2024). Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2402.08387.

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2024The Famous American Economist H. Markowitz and Mathematical Overview of his Portfolio Selection Theory. (2024). Gasparavivcius, Ignas ; Grigutis, Andrius. In: Papers. RePEc:arx:papers:2402.10253.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024Modeling stock price dynamics on the Ghana Stock Exchange: A Geometric Brownian Motion approach. (2024). Mettle, Felix Okoe ; Quayesam, Dennis Lartey ; Lotsi, Anani. In: Papers. RePEc:arx:papers:2403.13192.

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2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

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2025Robust Utility Optimization via a GAN Approach. (2024). Teichmann, Josef ; Wutte, Hanna ; Krach, Florian. In: Papers. RePEc:arx:papers:2403.15243.

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2024On Mertons Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility. (2024). Kopeliovich, Yaacov ; Pokojovy, Michael. In: Papers. RePEc:arx:papers:2403.15923.

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2024On the potential of quantum walks for modeling financial return distributions. (2024). Schoors, Koen ; Rocha, Luis ; de Backer, Stijn ; Ryckebusch, Jan. In: Papers. RePEc:arx:papers:2403.19502.

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2024Using Machine Learning to Forecast Market Direction with Efficient Frontier Coefficients. (2024). Scherer, William ; Alexander, Nolan. In: Papers. RePEc:arx:papers:2404.00825.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Bayesian Markov-Switching Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.11235.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari ; Lyu, Haoshu. In: Papers. RePEc:arx:papers:2404.18017.

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2024Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; He, Jian ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2025Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs. (2025). Wu, Sizhou ; Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2405.05192.

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2024Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation. (2024). Lepinette, Emmanuel ; Vu, Duc Thinh. In: Papers. RePEc:arx:papers:2405.06764.

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2024The Unfairness of $\varepsilon$-Fairness. (2024). Fadina, Tolulope ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2405.09360.

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2024Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model. (2024). Rachev, Svetlozar T ; Gnawali, Jagdish ; Fabozzi, Frank J ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2405.12479.

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2024Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation. (2024). Singh, Ayush ; Jha, Anshu K ; Kumar, Amit N. In: Papers. RePEc:arx:papers:2405.12988.

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2025Reinforcement Learning for Jump-Diffusions, with Financial Applications. (2025). Yu, Xun ; Gao, Xuefeng ; Li, Lingfei. In: Papers. RePEc:arx:papers:2405.16449.

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2024Managing Financial Climate Risk in Banking Services: A Review of Current Practices and the Challenges Ahead. (2024). Cardenas, Victor. In: Papers. RePEc:arx:papers:2405.17682.

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2024Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770.

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2024PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets. (2024). Shen, Zhenyu ; Liu, Yang. In: Papers. RePEc:arx:papers:2406.00435.

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2024Machine Learning Methods for Pricing Financial Derivatives. (2024). Fan, Lei ; Sirignano, Justin. In: Papers. RePEc:arx:papers:2406.00459.

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2025Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms. (2025). Lam, Duy Khanh. In: Papers. RePEc:arx:papers:2406.13486.

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2024The Mertons Default Risk Model for Public Company. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.18121.

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2025Optimal consumption under loss-averse multiplicative habit-formation preferences. (2025). Yu, Xiang ; Yuan, Fengyi ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2406.20063.

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2024Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment. (2024). Shen, Yang ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2407.02831.

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2024Optimal hedging with variational preferences under convex risk measures. (2024). Righi, Marcelo. In: Papers. RePEc:arx:papers:2407.03431.

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2024Optimal Carbon Emission Control With Allowances Purchasing. (2024). Dong, Yuchao ; Chen, Xinfu ; Huang, Wenlin ; Liang, Jin. In: Papers. RePEc:arx:papers:2407.08477.

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2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

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2024Attribution Methods in Asset Pricing: Do They Account for Risk?. (2024). Gao, Yuan ; Chen, Dangxing. In: Papers. RePEc:arx:papers:2407.08953.

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2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

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2025Mean-Variance Optimization for Participating Life Insurance Contracts. (2025). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2407.11761.

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2025Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547.

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2024Deep learning for quadratic hedging in incomplete jump market. (2024). Agram, Nacira ; Rems, Jan ; Oksendal, Bernt. In: Papers. RePEc:arx:papers:2407.13688.

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2024Construction and Hedging of Equity Index Options Portfolios. (2024). Ślepaczuk, Robert ; Wysocki, Maciej. In: Papers. RePEc:arx:papers:2407.13908.

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2024Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time. (2024). Havrylenko, Yevhen ; Desmettre, Sascha ; Steffensen, Mogens ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2407.16525.

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2025Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets. (2024). Feng, Zixin ; Zheng, Harry ; Tian, Dejian. In: Papers. RePEc:arx:papers:2407.19995.

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2024Deep Learning for Options Trading: An End-To-End Approach. (2024). Tan, Wee Ling ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.21791.

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2024SABR/LIBOR market models: pricing and calibration for some interest rate derivatives. (2024). L'Opez-Salas, J G ; Garc, J A ; C. V'azquez, ; Ferreiro, A M. In: Papers. RePEc:arx:papers:2408.01470.

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2024Neural Term Structure of Additive Process for Option Pricing. (2024). Lin, Jimin ; Liu, Guixin. In: Papers. RePEc:arx:papers:2408.01642.

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2024The indifference value of the weak information. (2024). Mostovyi, Oleksii ; Baudoin, Fabrice. In: Papers. RePEc:arx:papers:2408.02137.

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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]		article151
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: 151		paper
1998Applications of Option-Pricing Theory: Twenty-Five Years Later. In: American Economic Review.
[Full Text][Citation analysis]		article100
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: 100		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]		article2
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]		article1
2006Allocating Shareholder Capital to Pension Plans In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article7
1992FINANCIAL INNOVATION AND ECONOMIC PERFORMANCE In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article112
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1973The Relationship Between Put and Call Option Prices: Comment. In: Journal of Finance.
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1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. In: Journal of Finance.
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1973On the pricing of corporate debt: the risk structure of interest rates.(1973) In: Working papers.
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1976The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns. In: Journal of Finance.
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1995MARK-TO-MARKET ACCOUNTING FOR BANKS AND THRIFTS - LESSONS FROM THE DANISH EXPERIENCE In: Journal of Accounting Research.
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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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1993Deposit insurance reform: a functional approach In: Carnegie-Rochester Conference Series on Public Policy.
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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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1992Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.(1992) In: NBER Working Papers.
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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 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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1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods In: Journal of Financial Economics.
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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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1974The Optimality of a Competitive Stock Market In: Bell Journal of Economics.
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1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. In: The Review of Economics and Statistics.
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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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1982The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. In: The Journal of Business.
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