Financial Analysts Journal 12 February 2018 Volume 74 Issue 1
An Interview with Nobel Laureate Robert C. Merton
On 7 August 2017, Mark P. Kritzman, CFA, interviewed Robert C. Merton, winner of the 1997 Alfred Nobel Memorial Prize in Economic Sciences, to discuss his student days at Columbia University, Caltech, and MIT; his development of the continuous-time theory of optimal lifetime consumption and portfolio choice as well as his contribution to the development of the option-pricing formula; and his collaboration with Paul Samuelson.
About the Author(s)
Mark P. Kritzman, CFA, is president and CEO at Windham Capital Management and chairman of Windham’s investment committee. He is also a founding partner of State Street Associates, and he teaches a graduate course at MIT. Previously, Mr. Kritzman served as founding director at the International Securities Exchange, LLC. He currently serves on a number of editorial and advisory boards, including at the Center for Asset Management at Boston College, the MIT Sloan Finance Research Group, the International Association of Financial Engineers, Emerging Markets Review, Financial Analysts Journal, Journal of Alternative Investments, Journal of Derivatives, and Journal of Investment Management, where he is the book review editor. Mr. Kritzman has written numerous articles for academic and professional journals and is the author of six books, including Puzzles of Finance and The Portable Financial Analyst. He holds an MBA with distinction from New York University.
Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management and University Professor Emeritus at Harvard University. He was the George Fisher Baker Professor of Business Administration and the John and Natty McArthur University Professor at Harvard Business School. Dr. Merton is resident scientist at Dimensional Holdings Inc. and is the creator of Dimensional Managed DC. He currently focuses on the Target Retirement Solution, a global integrated retirement-funding solution system. Dr. Merton's research focuses on finance theory, including lifecycle and retirement finance, optimal portfolio selection, capital asset pricing, pricing of options, credit risk, loan guarantees, and improving the methods of measuring and managing macro-financial risk. In addition to numerous other awards, he received the Alfred Nobel Memorial Prize in Economic Sciences for a new method to determine the value of derivatives. Dr. Merton received a BS in engineering mathematics from Columbia University, an MS in applied mathematics from California Institute of Technology, and a PhD in economics from MIT.