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词条 Robert C. Merton
释义

  1. Biography

  2. Career

  3. Personal life

  4. Honours and awards

  5. Publications

  6. See also

  7. References

  8. External links

{{About|the economist|the sociologist|Robert K. Merton}}{{Use mdy dates|date=July 2014}}{{Infobox scientist
| name = Robert C. Merton
| image = Robert Merton November 2010 03(1).jpg
| caption = Merton in 2010
| birth_date = {{Birth date and age|1944|7|31|mf=y}}
| birth_place = New York City, New York, U.S.
| nationality = American
| workplaces = Massachusetts Institute of Technology Harvard University

| alma_mater = Columbia University
California Institute of Technology
Massachusetts Institute of Technology
| doctoral_advisor = Paul Samuelson
| doctoral_students = Jonathan E. Ingersoll[1]
Robert Jarrow
| known_for = Black–Scholes–Merton model
ICAPM
Merton's portfolio problem
Merton model
Fractional Finance
Long-Term Capital Management
| field = Finance, economics
| prizes = Nobel Memorial Prize in Economic Sciences (1997)
}}

Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especially the first continuous-time option pricing model, the Black–Scholes formula. In 1993 Merton co-founded hedge fund Long-Term Capital Management. In 1997 he received the Nobel Prize for his contributions in Economics.

Biography

Merton was born in New York City to a Jewish father[2] sociologist Robert K. Merton and mother Suzanne Carhart who was from a "multigenerational southern New Jersey Methodist/Quaker family."[3] He grew up in Hastings-on-Hudson, NY. He earned a Bachelor of Science in Engineering Mathematics from the School of Engineering and Applied Science of Columbia University, a Masters of Science from the California Institute of Technology, and his doctorate in economics from the Massachusetts Institute of Technology in 1970 under the guidance of Paul Anthony Samuelson. He then joined the faculty of the MIT Sloan School of Management, where he taught until 1988.[4] Subsequently, Merton moved to Harvard University, where he was George Fisher Baker Professor of Business Administration from 1988 to 1998. He was the John and Natty McArthur University Professor from 1998-2010. He rejoined the MIT Sloan School of Management in 2010 when he went Emeritus.

Career

Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. He is Resident Scientist at Dimensional Fund Advisors, where he developed a next-generation integrated pension-management solution system that addresses deficiencies associated with traditional defined-benefit and defined-contribution plans. Merton is University Professor Emeritus at Harvard University. He was the George Fisher Baker Professor of Business Administration (1988–98) and John and Natty McArthur University Professor (1998–2010) at the Harvard Business School. He previously served on the finance faculty of the Sloan School from 1970 until 1988. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new methodology to value derivatives. He is past President of the American Finance Association, a member of the National Academy of Sciences and a fellow of the American Academy of Arts and Sciences. He holds honorary degrees from eighteen universities.

Merton’s research focuses on finance theory including lifecycle finance, optimal intertemporal portfolio selection, capital asset pricing, pricing of options, risky corporate debt, loan guarantees, and other complex derivative securities. He has also written on the operation and regulation of financial institutions. Merton’s current academic interests include financial innovation and dynamics of institutional change, controlling the propagation of macro financial risk, and improving methods of measuring and managing sovereign risk. He is the author of Continuous-Time Finance, and a co-author of Cases in Financial Engineering: Applied Studies of Financial Innovation and The Global Financial System: A Functional Perspective; Finance; and Financial Economics.

Merton has also been recognized for translating finance science into practice. He received the inaugural Financial Engineer of the Year Award from the International Association of Financial Engineers in 1993,[5] which also elected him a senior fellow. Derivatives Strategy magazine named him to its Derivatives Hall of Fame as did Risk magazine to its Risk Hall of Fame. He also received Risk’s Lifetime Achievement Award for contributions to the field of risk management. A distinguished fellow of the Institute for Quantitative Research in Finance ('Q Group') and a fellow of the Financial Management Association, Merton received the Nicholas Molodovsky Award from the CFA Institute.

His first professional association with a hedge fund came in 1968. His advisor at the time, Paul Samuelson, brought him on board Arbitrage Management Company (AMC), to join founder Michael Goodkin and chief executive Harry Markowitz. AMC is the first known attempt at computerized arbitrage trading. After a successful run as a private hedge fund, AMC was sold to Stuart & Co. in 1971.[6] In 1993, Merton co-founded a hedge fund, Long-Term Capital Management, which earned high returns for four years but later lost $4.6 billion in 1998 and was bailed out by a consortium of banks and closed out in early 2000.[7]

Personal life

Merton married June Rose in 1966. They separated in 1996. They have three children: two sons and one daughter.

Honours and awards

  • In 1986, Merton became a Fellow at the American Academy of Arts and Sciences.[8]
  • In 1986, Merton was President of the American Finance Association.[9]
  • In 1993, Merton became a member of the U.S. United States National Academy of Sciences.
  • In 1993, Merton was awarded the International INA - Accademia Nazionale dei Lincei Prize, National Academy of Lincei, Rome.[10]
  • In 1993, Merton won the Financial Engineer of the Year Award by the International Association of Financial Engineers.[11]
  • In 1994, Merton became of Senior Fellow at the International Association of Financial Engineers.
  • In 1997, Merton became a Distinguished Fellow at the Institute for Quantitative Research in Finance ('Q Group').[10]
  • In 1997, Merton was awarded the Nobel Memorial Prize in Economic Sciences with Myron Scholes for their work on stock options.[12]
  • In 1998, Merton was awarded the Michael I. Pupin Medal for Service to the Nation from Columbia University.[13]
  • In 1999, Merton was awarded a lifetime achievement award in mathematical finance.[14]
  • In 2000, Merton became a FMA Fellow at the Financial Management Association.[15]
  • In 2000, Merton became a Fellow at the Society of Fellows, American Finance Association.[16]
  • In 2005 the Baker Library at Harvard University opened The Merton Exhibit in his honor.[17]
  • In 2009, Merton was awarded the Robert A. Muh Award in the Humanities, Arts and Social Sciences from Massachusetts Institute of Technology.[18]
  • In 2009, Merton was awarded the Tjalling C. Koopmans Asset Award from Tilburg University.[19]
  • In 2010, Merton received the Kolmogorov medal from the University of London.[20]
  • In 2010, Merton received the Hamilton Medal from the Royal Irish Academy.[21]
  • In 2011, Merton received the CME Group Melamed-Arditti Innovation Award.[22]
  • In 2013, Merton received the WFE Award for Excellence from the World Federation of Exchanges.[23]
  • In 2014, Merton received the Lifetime Achievement Award from the Financial Intermediation Research Society.[24]
  • In 2017, Merton received the Finance Diamond Price from the Fundacion de Investigacion IMEF, Mexico.[25]

Publications

  • Theory of rational option pricing (1973) [https://archive.org/details/theoryofrational00mert]

See also

  • List of economists
  • List of quantitative analysts

References

1. ^Ingersoll, Jonathan E. (1976), A contingent-claims valuation of convertible bonds and the optimal policies for call and conversion. Ph.D. dissertation, Massachusetts Institute of Technology.
2. ^Florida Atlantic University Libraries: "American Jewish Recipients of the Nobel Prize" {{webarchive|url=https://web.archive.org/web/20150402154728/http://fau.edu/library/nobel84.htm |date=April 2, 2015 }} retrieved March 29, 2015
3. ^{{Cite web |url = https://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1997/merton-bio.html |title = Robert C. Merton - Biographical |website = www.nobelprize.org |access-date = 2016-02-28 |deadurl = no |archiveurl = https://web.archive.org/web/20160304212212/http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1997/merton-bio.html |archivedate = March 4, 2016 |df = mdy-all}}
4. ^{{cite web | author=Faculty research Department | title=Biography – Robert C. Merton | url=http://dor.hbs.edu/fi_redirect.jhtml?facInfo=bio&facEmId=rmerton&loc=extn | publisher=Harvard Business School | year=2008 | accessdate=August 30, 2008 | deadurl=no | archiveurl=https://web.archive.org/web/20070608111620/http://dor.hbs.edu/fi_redirect.jhtml?facInfo=bio&facEmId=rmerton&loc=extn | archivedate=June 8, 2007 | df=mdy-all }}
5. ^{{cite web |url=http://news.cornell.edu/stories/1997/08/cornell-management-expert-named-financial-engineer-year |title=Robert Jarrow is cited as one of the world's leading finance theorists |last= Hittleman|first=Margo |date=19 August 1997 |publisher=Cornell Chronicle |access-date=5 February 2018 |quote=Past recipients of the Financial Engineer of the Year award include Robert Merton (Harvard), Fischer Black, Mark Rubinstein (Berkeley) and Stephen Ross (Yale).}}
6. ^Goodkin, Michael. The Wrong Answer Faster: The Inside Story of Making the Machine that Trades Trillions. John Wiley & Sons, 2012
7. ^{{cite web |url=https://www.barrons.com/articles/a-good-time-for-caution-in-the-markets-1499489952 |title=A Good Time for Caution in the Markets |last= Sears|first=Steven |date=8 July 2017 |publisher=Barron's |access-date=5 February 2018 |quote=}}
8. ^{{cite web|url=https://books.google.com/books?id=tXsAAgAAQBAJ&pg=PA256&lpg=PA256&dq=1986+Merton++Fellow+at+the+American+Academy+of+Arts+and+Sciences.&source=bl&ots=mcp5_AF1Jv&sig=gwZuJvSlC_a4N1KDKJaWF5VzSBA&hl=en&sa=X&ved=0ahUKEwiw5tKk0d_XAhWDmeAKHc9AC8kQ6AEIOzAD#v=onepage&q=1986+Merton++Fellow+at+the+American+Academy+of+Arts+and+Sciences.&f=false|title=The Nobel Memorial Laureates in Economics: An Introduction to Their Careers and Main Published Works|first1=Howard R.|last1=Vane|first2=Chris|last2=Mulhearn|date=December 6, 2017|publisher=Edward Elgar Publishing|accessdate=December 6, 2017|via=Google Books|deadurl=no|archiveurl=https://web.archive.org/web/20171206114816/https://books.google.com/books?id=tXsAAgAAQBAJ&pg=PA256&lpg=PA256&dq=1986+Merton++Fellow+at+the+American+Academy+of+Arts+and+Sciences.&source=bl&ots=mcp5_AF1Jv&sig=gwZuJvSlC_a4N1KDKJaWF5VzSBA&hl=en&sa=X&ved=0ahUKEwiw5tKk0d_XAhWDmeAKHc9AC8kQ6AEIOzAD#v=onepage&q=1986+Merton++Fellow+at+the+American+Academy+of+Arts+and+Sciences.&f=false|archivedate=December 6, 2017|df=mdy-all}}
9. ^{{cite web|url=http://www.afajof.org/details/page/9188201/Past-Presidents.html|title=- American Finance Association|website=www.afajof.org|accessdate=December 6, 2017|deadurl=yes|archiveurl=https://web.archive.org/web/20171201035249/http://www.afajof.org/details/page/9188201/Past-Presidents.html|archivedate=December 1, 2017|df=mdy-all}}
10. ^1 {{cite web|url=https://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1997/merton-bio.html|title=Robert C. Merton - Biographical|website=www.nobelprize.org|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20170709095846/http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1997/merton-bio.html|archivedate=July 9, 2017|df=mdy-all}}
11. ^{{cite web|url=https://books.google.com/books?id=tXsAAgAAQBAJ&pg=PA256&lpg=PA256&dq=In+1993,+Merton+won+the+Financial+Engineer+of+the+Year+Award+by+the+International+Association+of+Financial+Engineers&source=bl&ots=mcp5_AE1Lm&sig=bonlC-IlyGtr4w5WIhuC8TDs2Lc&hl=en&sa=X&ved=0ahUKEwj6wZvNzd_XAhWJk-AKHQEyBUoQ6AEIQDAE#v=onepage&q=In+1993,+Merton+won+the+Financial+Engineer+of+the+Year+Award+by+the+International+Association+of+Financial+Engineers&f=false|title=The Nobel Memorial Laureates in Economics: An Introduction to Their Careers and Main Published Works|first1=Howard R.|last1=Vane|first2=Chris|last2=Mulhearn|date=December 6, 2017|publisher=Edward Elgar Publishing|accessdate=December 6, 2017|via=Google Books|deadurl=no|archiveurl=https://web.archive.org/web/20171206114816/https://books.google.com/books?id=tXsAAgAAQBAJ&pg=PA256&lpg=PA256&dq=In+1993,+Merton+won+the+Financial+Engineer+of+the+Year+Award+by+the+International+Association+of+Financial+Engineers&source=bl&ots=mcp5_AE1Lm&sig=bonlC-IlyGtr4w5WIhuC8TDs2Lc&hl=en&sa=X&ved=0ahUKEwj6wZvNzd_XAhWJk-AKHQEyBUoQ6AEIQDAE#v=onepage&q=In+1993,+Merton+won+the+Financial+Engineer+of+the+Year+Award+by+the+International+Association+of+Financial+Engineers&f=false|archivedate=December 6, 2017|df=mdy-all}}
12. ^{{cite journal | title=Theory of Rational Option Pricing | last=Merton |first=Robert C.| journal=Bell Journal of Economics and Management Science | year=1973| volume=4| issue=1 | pages=141–183 | doi=10.2307/3003143 | publisher=The RAND Corporation | jstor=3003143}}
13. ^{{cite web|url=http://www.hbs.edu/faculty/m/Pages/profile.aspx?facId=6511|title=Robert C. Merton - Faculty & Research - Harvard Business School|website=www.hbs.edu|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20170928203129/http://www.hbs.edu/faculty/m/Pages/profile.aspx?facId=6511|archivedate=September 28, 2017|df=mdy-all}}
14. ^Robert A. Jarrow Speech in Honor of Robert C. Merton 1999 Mathematical Finance Day Lifetime Achievement Award {{webarchive|url=https://web.archive.org/web/20111212200647/http://www.bu.edu/mfd/mfdmerton.pdf |date=December 12, 2011 }}. bu.edu. April 25, 1999
15. ^{{cite web|url=http://www.fma.org/fellow-program|title=Fellow Program|first=Karen|last=Wright|website=www.fma.org|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20171201034151/http://www.fma.org/fellow-program|archivedate=December 1, 2017|df=mdy-all}}
16. ^{{cite web|url=http://www.afajof.org/details/page/3720801/Fellows.html|title=- American Finance Association|website=www.afajof.org|accessdate=December 6, 2017|deadurl=yes|archiveurl=https://web.archive.org/web/20171201030231/http://www.afajof.org/details/page/3720801/Fellows.html|archivedate=December 1, 2017|df=mdy-all}}
17. ^{{cite web|url=http://www.library.hbs.edu/hc/exhibits/merton/about.htm |title=Baker Library: About the Merton Exhibit |publisher=Web.archive.org |date=June 7, 2008 |accessdate=March 29, 2012 |deadurl=yes |archiveurl=https://web.archive.org/web/20080607091150/http://www.library.hbs.edu/hc/exhibits/merton/about.htm |archivedate=June 7, 2008 }}
18. ^{{cite web|url=https://shass.mit.edu/news/news-2009-merton-receives-muh-award|title=MIT SHASS: News - 2009 - Merton receives Muh Award|website=shass.mit.edu|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20151006092732/http://shass.mit.edu/news/news-2009-merton-receives-muh-award|archivedate=October 6, 2015|df=mdy-all}}
19. ^{{cite web|url=http://www.nber.org/reporter/2011number1/news.html|title=The NBER Reporter 2011 Number 1: News|website=www.nber.org|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20170610080950/http://nber.org/reporter/2011number1/news.html|archivedate=June 10, 2017|df=mdy-all}}
20. ^The Kolmogorov Lecture and Medal {{webarchive|url=https://web.archive.org/web/20100427055046/http://www.kolmogorov.clrc.rhul.ac.uk/pastwinners.html |date=April 27, 2010 }}. Kolmogorov.clrc.rhul.ac.uk (November 13, 2009). Retrieved on January 29, 2012.
21. ^{{cite web|url=http://www.tcd.ie/news_events/articles/tcd-mathematics-student-wins-hamilton-prize-2010/1601|title=TCD Mathematics Student Wins Hamilton Prize 2010|first=Trinity News and Events, Trinity College|last=Dublin|website=www.tcd.ie|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20171206114816/http://www.tcd.ie/news_events/articles/tcd-mathematics-student-wins-hamilton-prize-2010/1601|archivedate=December 6, 2017|df=mdy-all}}
22. ^{{cite web|url=http://www.cmegroup.com/company/center-for-innovation/melamed-arditti-innovation-award-winner-2014.html|title=CME Group's 2014 Melamed-Arditti Innovation Award - CME Group|website=www.cmegroup.com|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20170609064442/http://www.cmegroup.com/company/center-for-innovation/melamed-arditti-innovation-award-winner-2014.html|archivedate=June 9, 2017|df=mdy-all}}
23. ^{{cite web|url=https://www.world-exchanges.org/home/index.php/news/world-exchange-news/wfe-to-award-the-2013-wfe-award-for-excellence-to-nobel-laureates-robert-c-merton-and-myron-s-scholes|title=WFE to award the 2013 WFE Award for Excellence to Nobel Laureates Robert C. Merton and Myron S. Scholes|website=world-exchanges.org|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20171201033419/https://www.world-exchanges.org/home/index.php/news/world-exchange-news/wfe-to-award-the-2013-wfe-award-for-excellence-to-nobel-laureates-robert-c-merton-and-myron-s-scholes|archivedate=December 1, 2017|df=mdy-all}}
24. ^{{cite web |url=http://finance.wharton.upenn.edu/conferences/firsprogram/FIRS2014Program.pdf |title=Archived copy |accessdate=2017-11-27 |deadurl=no |archiveurl=https://web.archive.org/web/20150908144503/http://finance.wharton.upenn.edu/conferences/firsprogram/FIRS2014Program.pdf |archivedate=September 8, 2015 |df=mdy-all }}
25. ^{{cite web|url=http://www.imef-eventos.org.mx/2017/fundacion/congreso/programa_general.php|title=VII Congreso de Investigación Financiera IMEF 2017|website=www.imef-eventos.org.mx|accessdate=December 6, 2017|deadurl=no|archiveurl=https://web.archive.org/web/20171206114816/http://www.imef-eventos.org.mx/2017/fundacion/congreso/programa_general.php|archivedate=December 6, 2017|df=mdy-all}}

External links

{{Wikiquote}}
  • Official Website
  • Page at the Harvard Business School
  • [https://www.pbs.org/wgbh/nova/stockmarket/ PBS, Nova – Trillion Dollar Bet (2000)]
  • The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997
  • Press Release: The Sveriges Riksbank (Bank of Sweden) Prize in Economic Sciences in Memory of Alfred Nobel for 1997
  • Doctoral Dissertation
  • [https://ideas.repec.org/f/pme203.html IDEAS/RePEc]
  • Permanent exhibition of Nobel Medal and Diploma. Harvard Business School
  • Resident Scientist, Dimensional Fund Advisors
  • [https://web.archive.org/web/20120313070125/http://www.dfaus.com/managed_dc/ Pension solution Dimensional Managed DC]
  • Robert A. Jarrow Speech in Honor of Robert C. Merton 1999 Mathematical Finance Day Lifetime Achievement Award. April 25, 1999
  • {{webarchive |url=https://web.archive.org/web/20080607091150/http://www.library.hbs.edu/hc/exhibits/merton/about.htm |date=June 7, 2008 |title=Baker Library: About the Merton Exhibit }}
  • The Kolmogorov Lecture and Medal. November 13, 2009
  • [https://web.archive.org/web/20131012060724/http://www.ria.ie/news-(1)/hamilton-prize-2010.aspx Hamilton Medal]
  • CME Group Fred Arditti Innovation Award
  • Robert Muh Award
  • {{Cite book |title=Robert C.Merton (1944– ) |url=http://www.econlib.org/library/Enc/bios/Merton.html |work=The Concise Encyclopedia of Economics |edition=2nd |series=Library of Economics and Liberty |publisher=Liberty Fund |year=2008 }}
  • {{MathGenealogy |id=137086 }}
{{s-start}}{{s-ach|aw}}{{s-bef | before = James A. Mirrlees | before2 = William Vickrey }}{{s-ttl | title = Laureate of the Nobel Memorial Prize in Economics | years = 1997 |alongside= Myron S. Scholes }}{{s-aft | after = Amartya Sen }}{{s-end}}{{Nobel laureates in economics 1976-2000}}{{1997 Nobel Prize winners}}{{Authority control}}{{DEFAULTSORT:Merton, Robert Carhart}}

21 : 1944 births|Living people|Economists from New York (state)|American Nobel laureates|American people of Russian-Jewish descent|California Institute of Technology alumni|Columbia School of Engineering and Applied Science alumni|Financial economists|Harvard University faculty|Jewish American social scientists|Long-Term Capital Management|Massachusetts Institute of Technology alumni|Massachusetts Institute of Technology faculty|MIT Sloan School of Management faculty|Members of the United States National Academy of Sciences|Nobel laureates in Economics|People from Hastings-on-Hudson, New York|Fellows of the Econometric Society|Fellows of the American Academy of Arts and Sciences|National Bureau of Economic Research|21st-century American economists
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