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Harry M. Markowitz, Merton H. Miller, William F. Sharpe, Robert C. Merton and Myron S. Scholes
This groundbreaking series brings together a critical selection of key papers by the Nobel Memorial Laureates in Economics that have helped shape the development and present state of economics. The editors have organised this comprehensive series by theme and each volume focuses on those Laureates working in the same broad area of study. The careful selection of papers within each volume is set in context by an insightful introduction to the Laureates’ careers and main published works. This landmark series will be an essential reference for scholars throughout the world.
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Critical Acclaim
Contributors
Contents
More Information
This groundbreaking series brings together a critical selection of key papers by the Nobel Memorial Laureates in Economics that have helped shape the development and present state of economics. The editors have organised this comprehensive series by theme and each volume focuses on those Laureates working in the same broad area of study. The careful selection of papers within each volume is set in context by an insightful introduction to the Laureates’ careers and main published works. This landmark series will be an essential reference for scholars throughout the world.
Critical Acclaim
‘What a brilliant idea! To provide readers with both information on the Nobel Laureates in Economics and, to the degree possible, the original papers for which they were honored. The names of the “contributing” Laureates speak for themselves. Howard Vane and Chris Mulhearn, the editors, and Edward Elgar, the publisher, are to be congratulated for putting the idea into effect.’
– Warren J. Samuels, Michigan State University, US
‘These volumes complement Vane and Mulhearn’s critically acclaimed book, The Nobel Memorial Laureates in Economics, and are an indispensable guide to key developments in modern economics.’
– The late Mark Blaug, formerly of the University of London and University of Buckingham, UK
‘The nature, content and boundaries of economics are changing. There is no better way of examining the key contributions that have shaped the discipline in the last half century than by looking at the pioneering works of the Nobel Laureates in Economics. These volumes not only provide a treasure house of material of high intrinsic worth, but also help us to understand what kind of approaches and ideas have been successful in persuading other economists, and thereby provide valuable material for understanding the evolution of the discipline. The idea behind this series of volumes is brilliant.’
– Geoffrey M. Hodgson, University of Hertfordshire Business School, UK
– Warren J. Samuels, Michigan State University, US
‘These volumes complement Vane and Mulhearn’s critically acclaimed book, The Nobel Memorial Laureates in Economics, and are an indispensable guide to key developments in modern economics.’
– The late Mark Blaug, formerly of the University of London and University of Buckingham, UK
‘The nature, content and boundaries of economics are changing. There is no better way of examining the key contributions that have shaped the discipline in the last half century than by looking at the pioneering works of the Nobel Laureates in Economics. These volumes not only provide a treasure house of material of high intrinsic worth, but also help us to understand what kind of approaches and ideas have been successful in persuading other economists, and thereby provide valuable material for understanding the evolution of the discipline. The idea behind this series of volumes is brilliant.’
– Geoffrey M. Hodgson, University of Hertfordshire Business School, UK
Contributors
25 articles, dating from 1952 to 1979
Contents
Contents:
Acknowledgements
General Introduction
PART I HARRY M. MARKOWITZ
Introduction to Part I
Howard R. Vane and Chris Mulhearn
1. Harry Markowitz (1952a), ‘Portfolio Selection’
2. Harry Markowitz (1952b), ‘The Utility of Wealth’
3. H. Levy and H.M. Markowitz (1979), ‘Approximating Expected Utility by a Function of Mean and Variance’
4. Harry M. Markowitz and Eric L. van Dijk (2003), ‘Single-Period Mean-Variance Analysis in a Changing World’
PART II MERTON H. MILLER
Introduction to Part II
Howard R. Vane and Chris Mulhearn
5. Franco Modigliani and Merton H. Miller (1958), ‘The Cost of Capital, Corporation Finance and the Theory of Investment’
6. Franco Modigliani and Merton H. Miller (1959), ‘The Cost of Capital, Corporation Finance and the Theory of Investment: Reply’
7. Merton H. Miller and Franco Modigliani (1961), ‘Dividend Policy, Growth, and the Valuation of Shares’
8. Franco Modigliani and Merton H. Miller (1963), ‘Corporate Income Taxes and the Cost of Capital: A Correction’
9. Merton H. Miller and Franco Modigliani (1966), ‘Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–57’
10. Merton H. Miller (1977), ‘Debt and Taxes’
PART III WILLIAM F. SHARPE
Introduction to Part III
Howard R. Vane and Chris Mulhearn
11. William F. Sharpe (1963), ‘A Simplified Model For Portfolio Analysis’
12. William F. Sharpe (1964), ‘Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk’
13. William F. Sharpe (1966), ‘Mutual Fund Performance’
14. William F. Sharpe (1978), ‘Bank Capital Adequacy, Deposit Insurance, and Security Values’
PART IV ROBERT C. MERTON
Introduction to Part IV
Howard R. Vane and Chris Mulhearn
15. Robert C. Merton (1969), ‘Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case’
16. Robert C. Merton (1971), ‘Optimum Consumption and Portfolio Rules in a Continuous-Time Model’
17. Robert C. Merton (1973a), ‘Theory of Rational Option Pricing’
18. Robert C. Merton (1973b), ‘An Intertemporal Capital Asset Pricing Model’
19. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
20. Robert C. Merton (1977), ‘On the Pricing of Contingent Claims and the Modigliani-Miller Theorem’
PART V MYRON S. SCHOLES
Introduction to Part V
Howard R. Vane and Chris Mulhearn
21. Fischer Black and Myron Scholes (1972), ‘The Valuation of Option Contracts and a Test of Market Efficiency’
22. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
23. Fischer Black and Myron Scholes (1974), ‘The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns’
24. Myron Scholes and Joseph Williams (1977), ‘Estimating Betas from Nonsynchronous Data’
25. Merton H. Miller and Myron S. Scholes (1978), ‘Dividends and Taxes’
Name Index
Acknowledgements
General Introduction
PART I HARRY M. MARKOWITZ
Introduction to Part I
Howard R. Vane and Chris Mulhearn
1. Harry Markowitz (1952a), ‘Portfolio Selection’
2. Harry Markowitz (1952b), ‘The Utility of Wealth’
3. H. Levy and H.M. Markowitz (1979), ‘Approximating Expected Utility by a Function of Mean and Variance’
4. Harry M. Markowitz and Eric L. van Dijk (2003), ‘Single-Period Mean-Variance Analysis in a Changing World’
PART II MERTON H. MILLER
Introduction to Part II
Howard R. Vane and Chris Mulhearn
5. Franco Modigliani and Merton H. Miller (1958), ‘The Cost of Capital, Corporation Finance and the Theory of Investment’
6. Franco Modigliani and Merton H. Miller (1959), ‘The Cost of Capital, Corporation Finance and the Theory of Investment: Reply’
7. Merton H. Miller and Franco Modigliani (1961), ‘Dividend Policy, Growth, and the Valuation of Shares’
8. Franco Modigliani and Merton H. Miller (1963), ‘Corporate Income Taxes and the Cost of Capital: A Correction’
9. Merton H. Miller and Franco Modigliani (1966), ‘Some Estimates of the Cost of Capital to the Electric Utility Industry, 1954–57’
10. Merton H. Miller (1977), ‘Debt and Taxes’
PART III WILLIAM F. SHARPE
Introduction to Part III
Howard R. Vane and Chris Mulhearn
11. William F. Sharpe (1963), ‘A Simplified Model For Portfolio Analysis’
12. William F. Sharpe (1964), ‘Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk’
13. William F. Sharpe (1966), ‘Mutual Fund Performance’
14. William F. Sharpe (1978), ‘Bank Capital Adequacy, Deposit Insurance, and Security Values’
PART IV ROBERT C. MERTON
Introduction to Part IV
Howard R. Vane and Chris Mulhearn
15. Robert C. Merton (1969), ‘Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case’
16. Robert C. Merton (1971), ‘Optimum Consumption and Portfolio Rules in a Continuous-Time Model’
17. Robert C. Merton (1973a), ‘Theory of Rational Option Pricing’
18. Robert C. Merton (1973b), ‘An Intertemporal Capital Asset Pricing Model’
19. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
20. Robert C. Merton (1977), ‘On the Pricing of Contingent Claims and the Modigliani-Miller Theorem’
PART V MYRON S. SCHOLES
Introduction to Part V
Howard R. Vane and Chris Mulhearn
21. Fischer Black and Myron Scholes (1972), ‘The Valuation of Option Contracts and a Test of Market Efficiency’
22. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
23. Fischer Black and Myron Scholes (1974), ‘The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns’
24. Myron Scholes and Joseph Williams (1977), ‘Estimating Betas from Nonsynchronous Data’
25. Merton H. Miller and Myron S. Scholes (1978), ‘Dividends and Taxes’
Name Index
