The Review of Economics and Statistics: Lifetime Portfolio Selection Under Uncertainty.

MERTON, Robert C. [Kenneth Arrow].

$20,000.00

Item Number: 127335

Cambridge: Harvard University Press, 1969.

Volume LI of Harvard University’s Review of Economics and Statistics containing Robert Merton’s Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case, which introduced the concepts of continuous-time optimization later featured in his landmark work Continuous-Time Finance. Quarto, bound in full morocco with gilt titles and ruling to the spine in six compartments within raised bands, gilt ruling to the front and rear panel, all edges gilt, marbled endpapers. Association copy, inscribed twice by Robert C. Merton to fellow economist Kenneth J, Arrow on the table of contents page referencing his work, “For Ken, Robert Merton February 26, 2010” and on the introductory page of ‘Lifetime Portfolio Selection Under Uncertainty’ [p. 247], “For Ken, Robert Merton February 26, 2010.” The recipient, American economist Kenneth J. Arrow was the joint winner of the Nobel Memorial Prize in Economic Sciences with John Hicks in 1972. In economics, he was a major figure in post-World War II neo-classical economic theory. Many of his former graduate students have gone on to win the Nobel Memorial Prize themselves. His most significant works are his contributions to social choice theory, notably “Arrow’s impossibility theorem”, and his work on general equilibrium analysis. He has also provided foundational work in many other areas of economics, including endogenous growth theory and the economics of information. In fine condition. An exceptional association copy linking two Nobel Prize-winning economists.

Robert C. Merton is known for his pioneering contributions to continuous-time finance, especially the first continuous-time option pricing model, the Black–Scholes formula. The Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives a theoretical estimate of the price of European-style options. The formula led to a boom in options trading and provided mathematical legitimacy to the activities of the Chicago Board Options Exchange and other options markets around the world. lt is widely used, although often with adjustments and corrections, by options market participants. Many empirical tests have shown that the Black–Scholes price is "fairly close" to the observed prices, although there are well-known discrepancies such as the "option smile". Based on works previously developed by market researchers and practitioners, such as Louis Bachelier, Sheen Kassouf and Ed Thorp among others, Fischer Black and Myron Scholes came to the formula in the late 1960s. In 1970, after they attempted to apply the formula to the markets and incurred financial losses due to lack of risk management in their trades, they decided to focus in their domain area, the academic environment.[6] After three years of efforts, the formula named in honor of them for making it public, was finally published in 1973 in an article entitled "The Pricing of Options and Corporate Liabilities", in the Journal of Political Economy. Robert C. Merton was the first to publish a paper expanding the mathematical understanding of the options pricing model, and coined the term "Black–Scholes options pricing model". Merton and Scholes received the 1997 Nobel Memorial Prize in Economic Sciences for their work.