Paul Samuelson and Financial Economics

Bachelier L. (1900): “Theorie de la Speculation,” Paris; Gauthier-Villars, Cf. English translation in Cootner P. (ed.): The Random Character of Stock Market Prices, Cambridge: MIT Press, 1964.

Bernstein Peter L. (1992): Capital Ideas: The Improbable Origins of Modern Wall Street, New York: Free Press.

→ Black F. Scholes M. (1973): “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, pp. 637–659.

→ Bodie Z. (1995): “On the Risk of Stocks in the Long Run,” Financial Analysts Journal, May-June, pp 18–22.

→ Cox J. Ross S. Rubinstein M. (1979): “Option pricing: A Simplified Approach,” Journal of Financial Economics 7, pp. 229–263.

Fama E. (1970): “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance 25, pp. 383–417.

→ Jensen M. (1968): “The Performance of Mutual Funds in the Period 1945–1964,” Journal of Finance 23, pp. 389–416.

Jin L. Kogan L. Lim T. Taylor J. Lo A. (1997): “The Derivatives Source Book: A Bibliography of Applications of the Black–Scholes/Merton Option–Pricing Model,” MIT Sloan School of Management Laboratory for Financial Engineering Working Paper, Website: http://lfe.mit.edu/dsp/index.htm.

Kelly J. L. Jr. (1956): “A New Interpretation of Information Rate” Bell System Technical Journal, pp. 917–926.

Kruizenga R. (1956): “Put and Call Options: Theoretical and Market Analysis,” doctoral dissertation, M.I.T., Cambridge, Massachusetts.

Latane H. A. (1959): “Criteria for Choice Among Risky Ventures,” Journal of Political Economy, 67 April, pp. 144–155.

Lo A. MacKinlay A. C. , (1999): A Non-Random Walk Down Wall Street, Princeton University Press.

Markowitz H. M. (1976): “Investment for the Long Run: New Evidence for an Old Rule,” The Journal of Finance, Vol. XXXI, No. 5, December, pp. 1273–1286.

Merton R. C. (1969): “An Empirical Investigation of the Samuelson Rational Warrant Pricing Theory.” Class paper, Massachusetts Institute of Technology, spring 1969, Chapter V in Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics, MIT Ph.D. dissertation, 1970.

Merton R. C. , (1972): “‘Continuous–Time Speculative Processes’: Appendix to P. A. Samuelson's ‘Mathematics of Speculative Price’.” in Day R. H. Robinson S. M. eds.): Mathematical Topics in Economic Theory and Computation. Philadelphia; Society for Industrial and Applied Mathematics, reprinted in SIAM Review 15, 1973, pp. 1–42.

Merton R. C. , (1973): “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science 4, pp. 141–183. Merton R. C. (1992), Chap. 8.

Merton R. C. , (1976): “Option Pricing When Underlying Stock Returns are Discontinuous.” Journal of Financial Economics 3, January–February, pp. 125–144. Merton R. C. (1992), Chap. 9.

Merton R. C. , (1983): “Financial Economics,” in Paul Samuelson and Modern Economic Theory, edited by Brown E. C. Solow R. M. , New York: McGraw–Hill.

Merton R. C. , (1992): Continuous–Time Finance. Oxford, U.K.: Basil Blackwell, Revised Edition.

Merton R. C. , (1998): “Applications of Option-Pricing Theory: Twenty–Five Years Later,” American Economic Review 88, no. 3, pp. 323–349.

Merton R. C. Bodie Z. (2005): “The Design of Financial Systems: Towards a Synthesis of Function and Structure.” Journal of Investment Management 3, no. 1 (First Quarter), pp. 1–23.

→ Parkinson M. (1977)): “Option Pricing: The American Put,” Journal of Business 50, pp. 21–36.

Samuelson P.A. (1966): The Collected Scientific Papers of Paul A. Samuelson, vols. I and II, Stiglitz J. E. (Ed.), Cambridge, M.I.T. Press.

Samuelson P.A. , (1972): The Collected Scientific Papers of Paul A. Samuelson, vol. III, Merton R. C. (Ed.), Cambridge, M.I.T. Press.

Samuelson P.A. , (1977): The Collected Scientific Papers of Paul A. Samuelson, vol. IV, Nagatani H Crowley K. (eds.): Cambridge, M.I.T. Press.

Samuelson P.A. , (1986): The Collected Scientific Papers of Paul A. Samuelson, Vol. Crowley V. K. (ed): Cambridge, MIT Press.

Samuelson P.A. , (1950): “Probability and the Attempts to Measure Utility,” The Economic Review I, pp. 167–173; Collected Scientific Papers, I, Chap. 12.

Samuelson P.A. , (1952a): “Utility, Preference and Probability,” Conference on “Les fondements et applications de la theorie du risque en econometrie,” Paris; Collected Scientific Papers, I, Chap. 13.

Samuelson P.A. , (1952b): “Probability, Utility, and the Independence Axiom,” Econometrica 20, pp. 670–678; Collected Scientific Papers, I, Chap. 14.

Samuelson P.A. , (1957): “Intertemporal Price Equilibrium: A Prologue to the Theory of Speculation,” Weltwirtschaftliches Archiv 79, pp. 181–219. Collected Scientific Papers, II, Chap. 73.

Samuelson P.A. , (1960): “The St. Petersburg Paradox as a Divergent Double Limit,” International Economic Review I, pp. 31–37; Collected Scientific Papers, I, Chap. 15.

Samuelson P.A. , (1963): “Risk and Uncertainty: A Fallacy of Large Numbers,” Scientia 57, pp. 1–6; Collected Scientific Papers, I, Chap. 16.

Samuelson P.A. , (1965a): “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review 6, pp. 41–49; Collected Scientific Papers, III, Chap. 198.

Samuelson P.A. , (1965b): “Rational Theory of Warrant Pricing,” Industrial Management Review 6, pp. 13–39; Collected Scientific Papers, III, Chap. 199.

Samuelson P.A. , (1967a): “General Proof that Diversification Pays,” Journal of Financial and Quantitative Analysis 2, pp. 1–13; Collected Scientific Papers, III, Chap. 201.

Samuelson P.A. , (1967b): “Efficient Portfolio Selection for Pareto-Levy Investments,” Journal of Financial and Quantitative Analysis 2, pp. 107–122; Collected Scientific Papers, III, Chap. 202.

Samuelson P.A. , (1968): “Book Review of E. D. Thorp, and S. T. Kasouff Beat the Market,” Journal of American Statistical Association, 10, pp. 1049–1051.

Samuelson P.A. , (1969): “Lifetime Portfolio Selection by Dynamic Stochastic Programming,” Review of Economics and Statistics 51, pp. 239–246; Collected Scientific Papers, III, Chap. 204.

Samuelson P.A. Merton R. C. (1969): “A Complete Model of Warrant Pricing that Maximizes Utility,” Industrial Management Review 10, pp. 17–46; Collected Scientific Papers, III, Chap. 200, and R. C. Merton (1992), Chapter 7.

Samuelson P.A. , (1970a): “The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means, Variances and Higher Moments,” Review of Economic Studies 37, pp. 537–542; Collected Scientific Papers, III, Chap. 203.

Samuelson P.A. , (1970b): “Foreword” in R. Roll: The Behavior of Interest Rates: An Application of the Efficient Market Model to U.S. Treasury Bills, New York, Basic Books, Inc., pp. ix–xi; Collected Scientific Papers, III, Chap. 205.

Samuelson P.A. , (1971a): “Stochastic Speculative Price,” Proceedings of the National Academy of Sciences 68, pp. 3350–337; Collected Scientific Papers, III, Chap. 206.

Samuelson P.A. , (1971b): “The ‘Fallacy’ of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling,” Proceedings of the National Academy of Sciences 68, pp. 2493–2496; Collected Scientific Papers, III, Chap. 207.

Samuelson P.A. , (1972a): “Mathematics of Speculative Price” in Day R. H. Robinson S. M. (eds.): Mathematical Topics in Economic Theory and Computation. Philadelphia; Society for Industrial and Applied Mathematics, reprinted in SIAM Review 15, 1973, pp. 1–42; Collected Scientific Papers, IV, Chap. 240.

Samuelson P.A. , (1972b): “Proof that Unsuccessful Speculators Confer Less Benefit to Society than Their Losses,” Proceedings of the National Academy of Sciences 69, pp. 1230–1233; Collected Scientific Papers, IV, Chap. 260.

Samuelson P.A. , (1973): “Proof that Properly Discounted Present Values of Assets Vibrate Randomly,” Bell Journal of Economics and Management Science 4, pp. 369–374; Collected Scientific Papers, IV, Chap. 241.

Samuelson P.A. Merton R. C. (1974): “Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods,” Journal of Financial Economics I, pp. 67–94; Collected Scientific Papers, IV, Chap. 245.

Samuelson P.A. Merton R. C. , (1974a): “Comments on the Favorable–Bet Theorem,” Economic Inquiry 12, pp. 345–355; Collected Scientific Papers, IV, Chap. 248.

Samuelson P.A. Merton R. C. , (1974b): “Challenge to Judgment,” Journal of Portfolio Management 1, pp. 17–19; Collected Scientific Papers, IV, Chap. 243.

Samuelson P.A. Merton R. C. , (1974c): “Foreword” in Bicksler J. L. Samuelson P. A. (eds.): Investment Portfolio Decision Making, Lexington, D. C. Heath; Collected Scientific Papers, IV, Chap. 244.

Samuelson P.A. Merton R. C. , (1976): “Is Real–World Price a Tale Told by the Idiot of Chance?” Review of Economics and Statistics 58, pp. 120–123; Collected Scientific Papers, IV, Chap. 242.

Samuelson P.A. Merton R. C. , (1977): “St Petersburg Paradoxes: Defanged, Dissected and Historically Described,” Journal of Economic Literature 15, pp. 24–55. Collected Scientific Papers, V, Chap. 298.

Samuelson P.A. Merton R. C. , (1979): “Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long,” Journal of Banking and Finance, 3, pp. 305–307. Collected Scientific Papers, V, Chap. 329.

Samuelson P.A. Merton R. C. , (1987): “Paradise Lost & Refound: The Harvard ABC Barometers,” Journal of Portfolio Management, Spring, pp. 4–9.

Samuelson P.A. Merton R. C. , (1989a): “A Case at Last for Age-Phased Reduction in Equity,” Proceedings of the National Academy of Science, November, pp. 9048–9051.

Samuelson P.A. Merton R. C. , (1989b): “The Judgment of Economic Science on Rational Portfolio Management: Indexing, Timing, and Long-Horizon Effects.” Journal of Portfolio Management, Fall, pp. 4–12.

Samuelson P.A. Merton R. C. , (1989c): “The N Law and Repeated Risktaking,” in Anderson T. W. (Ed.), Probability, Statistics and Mathematics: Papers in Honor of Samuel Karlin. San Diego, CA: The Academic Press, pp. 291–306.

Samuelson P.A. Merton R. C. , (1990): “Asset Allocation Could be Dangerous to Your Health,” Journal of Portfolio Management, Spring, pp. 508.

Samuelson P.A. Merton R. C. , (1991): “Long-Run Risk Tolerance When Equity Returns are Mean Regressing Pseudoparadoxes and Vindication of ‘Businessmen's Risk’.” in Brainard W. C. Nordhaus W. D. Watts H. W. , eds., Money, Macroeconomics, and Economic Policy. Cambridge, MA: The MIT Press, pp. 181–200.

Samuelson P.A. Merton R. C. , (1992): “At Last a Rational Case for Long Horizon Risk Tolerance and for Asset–Allocation Timing?,” in Robert D. Arnott Frank J. Fabozzi (Eds.), Active Asset Allocation. Chicago: Probus Publishing Co.

Samuelson P.A. Merton R. C. , (1994): “The Long-Term Case of Equities and How it Can be Oversold,” Journal of Portfolio Management, Fall, pp. 15–24.

Samuelson P.A. Merton R. C. , (1997a): “Dogma of the Day,” Bloomberg Personal Magazine, January/February, pp. 33–34.

Samuelson P.A. Merton R. C. , (1997b): “Proof by Certainty Equivalents that Diversification-Across-Time Does Worse, Risk–Corrected, Than Diversification–Throughout-Time,” Journal of Risk and Uncertainty, 14:2, March, pp. 129–42.

Samuelson P.A. Merton R. C. , (2002): “Modern Finance Theory Within One Lifetime,” in Geman H. Madan D. Pliska S. R. Vorst T. (Eds.), Mathematical Finance Bachelier Congress 2000. Berlin, Heidelberg, New York: Springer–Verlag, pp. 41–45.

Sharpe W. F. (1978): Investments, Englewood Cliffs, New Jersey: Prentice Hall.

Taqqu M. S. (2001): “Bachelier and his times: A Conversation with Bernard Bru,” Finance and Stochastics, 5:1, January, pp. 3–32.

Thorp E. O. Kasouff S. T. (1967): Beat the Market: A Scientific Stock Market System, New York, Random House.

Thorp E. O. Kasouff S. T. , (2004): “A Perspective on Quantitative Finance: Models for Beating the Market,” in Wilmott Paul (Ed.), The Best of Wilmott 1: Incorporating the Quantitative Finance Review, New York, Wiley & Sons.