We investigate how the inability to continuously trade an asset affects portfolio choice. We extend the standard Merton model to include an illiquid asset that can only be traded at infrequent, stochastic intervals. Because consumption is financed through liquid wealth only, the presence of illiquidity leads to increased and state-dependent risk aversion. Illiquidity leads to under-investment i...

OBJECTIVE To describe the extracontractual referrals of residents of Merton and Sutton Health Authority during the first three months of the NHS reforms in terms of the nature of the referral (elective or emergency), the specialty referred to, and the source of and reason for referral. DESIGN Descriptive analysis of all extracontractual referrals submitted to the health authority between 1 Ap...

These lectures are all about optimal investment/consumption problems, usually with some ‘imperfection’, such as transaction costs, or constraints on the permitted portfolios, or different interest rates for borrowing and lending, or margin requirements for borrowing, or even just incomplete markets. Some time ago, Karatzas, Lehoczky & Shreve (1987), and Cox & Huang (1989) realised that the use ...

In 1942 Robert K. Merton tried to demonstrate the structure of the normative system of science by specifying the norms that characterized it. The norms were assigned the abbreviation CUDOs: Communism, Universalism, Disinterestedness, and Organized skepticism. Using the results of an on-line survey of climate scientists concerning the norms of science, this paper explores the climate scientists'...

The aim of this paper is to provide an assessment of alternative frameworks for the fair valuation of life insurance contracts with a predominant financial component, in terms of impact on the market consistent price of the contracts, the options embedded therein, and the capital requirements for the insurer. In particular, we model the dynamics of the log-returns of the reference fund using th...

Maximizing expected utility over a lifetime leads one who has constant relative risk aversion and faces random-walk securities returns to be "myopic" and hold the same fraction of portfolio in equities early and late in life--a defiance of folk wisdom and casual introspection. By assuming one needs to assure at retirement a minimum ("subsistence") level of wealth, the present analysis deduces a...

Merton the founder of the sociology of science Even his enemies admit that Merton is the founder of the sociology of science. When he published his classic Science, Technology, and Society in Seventeenth-Centiiry England in 1938. the sociology of science was not a recognized field. Fifty years later, an abundance of programs of instruction and centers of research in social studies of science an...

a r t i c l e i n f o a b s t r a c t We theorize and confirm a new channel by means of which liquidity costs are embedded in CDS spreads. We show that credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton [Merton, R.C., 1974. On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29, 449–470] model via hedging. We confirm th...