Robert Carhart Merton
Robert Carhart Merton se narodil v New Yorku 31. července v roce 1944. Vždy se velice zajímal o trh a obchod. Své první akcie zakoupil již ve věku deseti let. Matematika mu byla blízká již od jeho dětských let. Velice rád vždy řešil problémy, zejména pak ty, které se týkaly reálného světa. Jeho sympatie k matematice se prohloubily během jeho studia na Columbia University, kterou ukončil v roce 1966. Pokračoval pak studiem aplikované matematiky na California Institute of Technology, kterou ukončil v roce 1967. V roce 1970 získal doktorát na Massachusetts Institute of Technology, kde zůstal až do roku 1988. Od té doby působí Merton jako profesor na Harvardské Business School.
Merton je členem jak Americké akademie umění a věd, tak Ekonometrické společnosti. Je starším členem Mezinárodní asociace finančních inženýrů. Byl zvolen členem Národní akademie věd v roce 1993. V roce 1991 obdržel čestný doktorát práv na universitě v Chicago, v roce 1995 hodnost profesora Honoris Causa na Hautes Études Commerciales (Francie), v roce 1996 doktorát Honoris Causa na universitě v Lausanne, v roce 1997 doktorát Honoris Causa na universitě Paris Dauphine, a v roce 1998 čestný doktorát z manažerských věd na universitě National Sun Yat-sen (Taiwan).
Valnou část svého vědeckého bádání zasvětil Merton rizikům, jež nese obchodování na finančních trzích, a zasloužil se o to, aby teorie oceňování rizik, kterou původně rozpracoval jeho o tři roky starší kolega Scholes s již zesnulým profesorem Fischerem Blackem, přinesla praktické plody. Společně s Blackem a Scholesem položil Merton základy pro bouřlivý růst na trzích finančních derivátů v posledních deseti letech.
Švédská královská akademie poukázala na obrovský přínos oceněného Mertona a Scholese pro investory, kteří vkládají peníze například do nákupních opcí – finančního nástroje zaručujícího právo na budoucí koupi akcií za pevně stanovenou cenu. Důležitá je přitom cena nákupní opce, neboť investor sází na to, že kurs akcií, jejichž budoucí koupi si předplatil, poroste, takže na opci vydělá. Rozhodování mu usnadňuje vzorec nalezený Blackem, Mertonem a Scholesem na počátku sedmdesátých let. Black-Scholesiho vzorec – metoda pro určování hodnoty opcí byl poprvé publikován v roce 1973 v Journal of Political Economy.
Praktický přínos profesorů Blacka, Mertona a Scholese spočíval v tom, že v podstatě položili základy pro dynamický rozvoj trhu finančních derivátů, ke kterému došlo především ve druhé polovině 80. let a v 90. letech. Nová metoda oceňování, která nahradila staré nepřesné metody, představuje značný přínos a bezpochyby patří mezi největší přínosy ekonomické vědy v posledních několika desetiletích, neboť stimulovala dynamický rozvoj a efektivní fungování vysoce aktivních trhů, na nichž jsou dnes obchodovány astronomické částky. Podle některých ekonomů přispěl dokonce rozvoj trhů derivátů ke zmírnění hospodářských krizí, neboť firmy se mohou nyní zajišťovat efektivněji proti negativnímu dopadu tržních výkyvů.
Robert C. Merton je znám vedle průkopnické analýzy oceňování opcí i řadou dalších zásadních příspěvků, především v oblasti ekonomie financí, je autorem velice účinné metody analýzy rozhodování o investicích a spotřebě v průběhu času a je rovněž autorem zobecnění tzv. CAPM modelu (capital assets pricing model).
Od roku 1996 žije R. C. Merton odděleně od své ženy June Rose, se kterou má tři děti – dva syny a dceru.
MERTON, R. C. The „Motionless“ Motion of Swift’s Flying Island. Journal of the History of Ideas, 27, April-June 1966.
MERTON, R. C., SAMUELSON, P. A. A Complete Model of Warrant Pricing That Maximizes Utility. Industrial Management Review, 10, Winter 1969.
MERTON, R. C. Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case. Review of Economics and Statistics, 51, August 1969.
MERTON, R. C. A Golden Golden-Rule for Welfare-Maximization in an Economy With a Varying Population Growth Rate. Western Economic Journal, 4, December 1969.
MERTON, R. C. A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm, MIT Sloan School of Management, Working Paper # 497-70, December 1970.
MERTON, R. C. Optimum Consumption and Portfolio Rules in a Continuous-time Model. Journal of Economic Theory, 3, December 1971. Reprinted in W. T. Ziemba and R. G. Vickson, eds., Stochastic Optimization Models in Finance, Academic Press: New York, 1975.
MERTON, R. C. An Analytical Derivation of the Efficient Portfolio Frontier. Journal of Financial and Quantitative Analysis, 10, September 1972.
MERTON, R. C. Appendix: Continuous-Time Speculative Processes. In P. A. Samuelson, „Mathematics of Speculative Price“, SIAM Review, 15, January 1973.
MERTON, R. C. The Relationship Between Put and Call Option Prices: Comment. Journal of Finance, 28, March 1973.
MERTON, R. C. Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4, Spring, 1973. Reprinted in S. Bhattacharya and G. Constantinides, eds., Frontiers of Modern Financial Theory, Volume 1, Totowa, NJ: Rowmand and Littlefield, 1989.
MERTON, R. C. Book Review: Studies in the Theory of Capital Markets. In M. C. Jensen, ed., Journal of Money, Credit, and Banking, May 1973.
MERTON, R. C. An Intertemporal Capital Asset Pricing Model. Econometrica 41, September 1973. Reprinted in J. Bicksler and I. Friend (eds.), Studies in Risk and Return, Cambridge, MA: Ballinger, 1977.
MERTON, R. C., SUBRAHMANYAM, M. C. The Optimality of a Competitive Stock Market. Bell Journal of Economics and Management Science, 5, Spring 1974.
MERTON, R. C., SAMUELSON, P. A. Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions. Journal of Finance, 29, March 1974.
MERTON, R. C., SAMUELSON, P. A. Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making Over Many Periods. Journal of Financial Economics, 1, May 1974. Reprinted in J. Bicksler and I. Friend, eds., Studies in Risk and Return, Cambridge, MA: Ballinger, 1977.
MERTON, R. C. On the Pricing of Corporate Debt: The Risk-Structure of Interest Rates. Journal of Finance, 29, May 1974.
MERTON, R. C. An Asymptotic Theory of Growth Under Uncertainty. Review of Economic Studies, 42, July 1975.
MERTON, R. C. Theory of Finance From the Perspective of Continuous Time. Journal of Financial and Quantitative Analysis, 10, November 1975.
MERTON, R. C. Option Pricing When Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 3, January-February 1976. Reprinted in M. Berry and K. Sherred, eds., CFA Readings in Derivatives Securities, Charlottesville, VA: The Institute of Chartered Financial Analysis.
MERTON, R. C. The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns. Journal of Finance, 31, May 1976.
MERTON, R. C. Continuous-Time Portfolio Theory and the Pricing of Contingent Claims. MIT Sloan School of Management, Working Paper, November 1976.
MERTON, R. C. A Reexamination of the Capital Asset Pricing Model. In Studies in Risk and Return, J. Bicksler and I. Friend, eds., Cambridge, MA: Ballinger, 1977.
MERTON, R. C. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance: An Application of Modern Option Pricing Theory. Journal of Banking and Finance, 1, June 1977.
MERTON, R. C. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem. Journal of Financial Economics, 5, November 1977.
MERTON, R. C., SCHOLES, M. S., GLADSTEIN, M. L. The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. Journal of Business, 51, April 1978.
MERTON, R. C. On the Cost of Deposit Insurance When There Are Surveillance Costs. Journal of Business, 51, July 1978.
MERTON, R. C. Capital Requirements in the Regulation of Financial Intermediaries: A Discussion. In Proceedings, The Regulation of Financial Institutions, Conference Series # 21, Federal Reserve Bank of Boston, October 1979.
MERTON, R. C. On Estimating the Expected Return on the Market: An Exploratory Investigation. Journal of Financial Economics, 8, December 1980.
MERTON, R. C. On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts. Journal of Business, 54, July 1981.
MERTON, R. C., HENRIKSSON, R. D. On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills. Journal of Business, 54, October 1981.
MERTON, R. C., SCHOLES, M. S., GLADSTEIN, M. L. The Returns and Risk of Alternative Put Option Portfolio Investment Strategies. Journal of Business, 55, January 1982.
MERTON, R. C. On the Microeconomic Theory of Investment Under Uncertainty. In Handbook of Mathematical Economics, Volume II, K. Arrow and M. Intriligator, eds., Amsterdam: North-Holland Publishing Company, 1982.
MERTON, R. C. On the Mathematics and Economic Assumptions of Continuous-Time Financial Models. In Financial Economics: Essays in Honor of Paul Cootner. W. F. Sharpe and C. M. Cootner, eds., Englewood Cliffs: Prenctice Hall, 1982.
MERTON, R. C. Financial Economics. In Paul Samuelson and Modern Economic Theory, E. C. Brown and R. M. Solow, eds., New York: McGraw-Hill, 1983.
MERTON, R. C., MARSH, T. A. Aggregate Dividend Behaviour and Its Implications for Tests of Stock Market Rationality, MIT Sloan School of Management, Working Paper # 1475-83, September 1983.
MERTON, R. C. On the Role of Social Security As a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable, in Financial Aspects of the U. S. Pension System, Z. Bodie and J. Sheven, eds., University of Chicago Press, 1983.
MERTON, R. C. On Consumption-Indexed Public Pension Plans. In Financial Aspects of the U.S. Pension System, Z. Bodie and J. Shoven, eds., Chicago: University of Chicago Press, 1983.
MERTON, R. C., MARSH, T. A. Earnings Variability and Variance bounds Tests for the Rationality of Stock Market Prices, MIT Sloan School of Management, Working Paper # 1559-84, April 1984.
MERTON, R. C., FISCHER, S. Macroeconomics and Finance: The Role of the Stock Market. In Essays on Macroeconomic Implications of Financial and Labor Markets and Political Processes, K. Brunner and A. H. Meltzer, NBER, 1984.
MERTON, R. C., MASON, S. The Role of Contingent Claims Analysis in Corporate Finance. Recent Advances in Corporate Finance, E. I. Altman and M. G. Subrahmanyam, eds., Harvard University, 1984.
MERTON, R. C. Implicit Labor Contracts Viewed as Options. A Discussion of „Insurance Aspects of Pensions“. Pensions, Labor, and Individual Choice, D. A. Wise, ed., Chicago: University of Chicago Press, 1985.
MERTON, R. C., MARSH, T. A. Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices. American Economic Review, 76, June 1986.
MERTON, R. C., MARSH, T. A. Dividend Behaviour for the Aggregate Stock Market. Journal of Business, 60, January 1987.
MERTON, R. C., BODIE, Z., MARCUS, A. J. Pension Plan Integration as Insurance Against Social Security Risk. Issues in Pension Economics, Z Bodie, J. B. Shoven and D. A. Wise, eds., NBER, 1984.
MERTON, R. C. On the Current State of the Stock Market Rationality Hypothesis, in Macroeconomics and Finance: Essays in Honor of Franco Modigliani. R. Dornbusch, S. Fischer and J. Bossons, eds., Cambridge: MIT Press, 1987.
MERTON, R. C. A Simple Model of Capital Market Equilibrium With Incomplete Information. Journal of Finance, 42, July 1987.
MERTON, R. C., BODIE, Z., MARCUS, A. J. Defined Benefit Versus Defined Contribution Pension Plans: What Are the Real Tradeoffs?. Pensions in the U.S. Economy, J. Shoven and D. Wise, eds. NBER, 1985.
MERTON, R. C. In Honor of Nobel Laureate, Franco Modigliani. Economic Perspectives, 1, Fall 1987.
MERTON, R. C. Continuous-Time Stochastic Models. The New Palgrave: A Dictionary of Economic Theory and Doctrine, London: Macmillan Press Ltd., 1987. Revised in The New Palgrave Dictionary of Money and Finance, London: Macmillan Press Ltd, 1992.
MERTON, R. C. Options. The New Palgrave: A Dictionary of Economic Theory and Doctrine, London: Macmillan Press Ltd, 1987. Revised in The New Palgrave Dictionary of Money and Finance, London: Macmillan Press Ltd, 1992.
MERTON, R. C. On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance, Twelfth Annual Lecture of the Geneva Association. The Geneva Papers on Risk & Insurance, 14, July 1989.
MERTON, R. C. Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding, Harvard Business School, Working Paper # 90-042, December 1989.
MERTON, R. C. The Changing Nature of Debt and Equity: A Discussion. In R. W. Kopeke and E. S. Rosengren, eds., Are the Distinctions Between Debt and Equity Disappearing? Conference Series # 33, Federal Reserve Bank of Boston, 1990.
MERTON, R. C. Continuous-Time Finance. Basil Blackwell, Inc. 1990; Revised Edition 1992.
MERTON, R. C. Capital Market Theory and the Pricing of Financial Securities. In B. Friedman and F. Hahn, eds., Harvard Business School, 1989.
MERTON, R. C. The Financial System and Economic Performance. Journal of Financial Services Research, 4, December 1990.
MERTON, R. C., BODIE, Z. A Framework for the Economic Analysis of Deposit Insurance and Other Guarantees, Harvard Business School, Working Paper # 92-063, January 1992.
MERTON, R. C. Financial Innovation and Economic Performance. Journal of Applied Corporate Finance, Winter 1992.
MERTON, R. C., BODIE, Z. On the Management of Deposit Insurance and Other Guarantees, Working Paper # 92-081, May 1992.
MERTON, R. C., BODIE, Z. Pension Reform and Privatization in International Perspective: The Case of Israel, Harvard Business School, Working Paper # 92-082, May 1992. Published (in Hebrew). The Economics Quarterly, 152, August 1992.
MERTON, R. C., BODIE, Z., SAMUELSON, W. Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model. Journal of Economic Dynamics and Control, 16, July/October 1992.
MERTON, R. C., BODIE, Z. On the Management of Financial Guarantees. Financial Management, 21, Winter 1992.
MERTON, R. C. Optimal Investment Strategies for University Endowment Funds. In C. Clotfelter and M. Rothschild, eds., Studies of Supply and Demand in Higher Education, Chicago: University of Chicago Press, 1993.
MERTON, R. C. Operation and Regulation in Financial Intermediation: A Functional Perspective. In P. Englund, ed., Operation and Regulation of Financial Markets, Stockholm: The Economic Council, 1993.
MERTON, R. C., BODIE, Z. Deposit Insurance Reform: A Functional Approach. In A. Meltzer and C. Plosser, eds., Carnegie-Rochester Conference Series on Public Policy, volume 38, June 1993.
MERTON, R. C., PEROLD, A. Management of Risk Capital in Financial Firms. In S. L. Hayes III, ed., Financial Services: Perspectives and Challenges, Boston: Harvard Business School Press, 1993.
MERTON, R. C., PEROLD, A. Theory of Risk Capital in Financial Firms. Journal of Applied Corporate Finance, Fall 1993.
MERTON, R. C., BODIE, Z. Pension Benefit Guarantees in the United States: A Functional Analysis. In R. Schmitt, ed., The Future of Pensions in the United States, Pension Research Council, Philadelphia: University of Pennsylvania Press, 1993.
MERTON, R. C. Influence of Mathematical Models in Finance on Practice: Past, Present and Future. Philosophical Transactions of the Royal Society of London, Series A, Volume 347, June 1994. Reprinted in Financial Practice and Education, Spring 1995.
MERTON, R. C., BODIE, Z. A Conceptual Framework for Analyzing the Financial Environment, Harvard Business School, Working Paper # 95-062, February 1995.
MERTON, R. C., BODIE, Z. The Informational Role of Asset Prices: The Case of Implied Volatility. Harvard Business School, Working Paper # 95-063, February 1995.
MERTON, R. C., BODIE, Z. Financial Infrastructure and Public Policy: A Functional Perspective. Harvard Business School, Working Paper # 95-064, February 1995.
MERTON, R. C., MASON, S., PEROLD, A., TUFANO, P. Casebook in Financial Engineering: Applied Studies of Financial Innovation, Prentice-Hall, 1995.
MERTON, R. C., BERNARD, V., PALEPU, K. Mark-to-Market Accounting for Banks and Thrifts: Lessons from the Danish Experience. Journal of Accounting Research, 33, 1, Spring 1995.
MERTON, R. C. Financial Innovation and the Management and Regulation of Financial Institutions. Journal of Banking and Finance, 19, July 1995.
MERTON, R. C. A Functional Perspective of Financial Intermediation. Financial Management, vol. 24, Summer 1995.
MERTON, R. C., CRANE, D., FROOT, K., MASON, S., PEROLD, A., BODIE, Z., SIRRI, E., TUFANO, P. The Global Financial System: A Functional Perspective. Boston: Harvard Business School Press, 1995.
MERTON, R. C., SCHOLES, M., BLACK, F. Journal of Finance, 50, December 1995.
MERTON, R. C. Foreword. Managing Derivative Risks. L. Chew, Chichester: John Wiley & Sons, 1996.
MERTON, R. C. On the Role of the Wiener Process in Finance Theory and Practice: The Case of Replicating Portfolios. In D. Jerison, I. M. Singer, and D. W. Stroock, eds., The Legacy of Norbert Wienmer: A Centennial Symposium, PSPM Series, vol. 60, Providence, RI: American Mathematical Society, 1997.
MERTON, R. C., MOEL, A. Savings and Loans and the Mortgage Markets, Harvard Business School Case # N9-297-090, February.
MERTON, R. C., MOEL, A. Smith Breeden Associates: The Equity Plus Fund, Harvard Business School Case # 9-297-089, April.
MERTON, R. C., MOEL, A. Harrington Financial Group, Harvard Business School Case # 9-297-088, April.
MERTON, R. C. A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries. European Finance Review, vol. 1, no. 1, 1997, p. 1-13.
MERTON, R. C. Foreword. Mathematics of Derivative Securities. M. A. H. Dempster and S. Pliska, eds., Cambridge University Press, 1997.
MERTON, R. C., BODIE, Z. Finance. New Jersey: Prentice-Hall, 1998.
MERTON, R. C., TUFANO, P. The Global Financial System Project. In T. K. McCraw, ed., Intellectural Venture Capital: Essays in Honor of Dean John H. McArthur, Boston: Harvard Business School Press, 1997.