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Myron Scholes Is the Frank E
Myron Scholes is the Frank E. Buck Professor of Finance, Emeritus, called back to active duty at the Stanford Graduate School of Business. He is a Nobel Laureate in Economic Sciences, and co- originator of the Black-Scholes options pricing model. Scholes was awarded the Nobel Prize in 1997 for his new method of determining the value of derivatives. His research has focused on understanding uncertainty and its effect on asset prices and the value of options, including flexibility options. He has studied the effects of tax policy on asset prices and incentives. He studied the effects of the taxation of dividends on the prices of securities, the interaction of incentives and taxes in executive compensation, capital structure issues with taxation, and the effects of taxes on the optimal liquidation of assets. He wrote several articles on investment banking and incentives and developed a new theory of tax planning under uncertainty and information asymmetry which led to a book with Mark A. Wolfson called Taxes and Business Strategies: A Planning Myron Scholes Approach (Prentice Hall, 1991). Frank E. Buck Professor of Finance, Emeritus Scholes is currently the Chief Investment Strategist, Janus Capital Group. Previously he served as the Chairman of Platinum Grove Stanford University Asset Management and on the Dimensional Fund Advisors Board of Directors, formerly, American Century Mutual Fund Board of Directors and the Cutwater Advisory Board. He was a principal and Limited Partner at Long-Term Capital Management, L.P. and a Managing Director at Salomon Brothers. Other positions Scholes held include the Edward Eagle Brown Professor of Finance at the University of Chicago, Senior Research Fellow at the Hoover Institution, and Director of the Center for Research in Security Prices, and Professor of Finance at MIT’s Sloan School of Management. -
Three US Economists Win Nobel for Work on Asset Prices 14 October 2013, by Karl Ritter
Three US economists win Nobel for work on asset prices 14 October 2013, by Karl Ritter information that investors can't outperform markets in the short term. This was a breakthrough that helped popularize index funds, which invest in broad market categories instead of trying to pick individual winners. Two decades later, Shiller reached a separate conclusion: That over the long run, markets can often be irrational, subject to booms and busts and the whims of human behavior. The Royal Swedish Academy of Sciences noted that the two men's findings "might seem both surprising and contradictory." Hansen developed a statistical method to test theories of asset pricing. In this Monday, June 15, 2009, file photo, Rober Shiller, a professor of economics at Yale, participates in a panel discussion at Time Warner's headquarters in New York. The three economists shared the $1.2 million prize, Americans Shiller, Eugene Fama and Lars Peter Hansen the last of this year's Nobel awards to be have won the Nobel Memorial Prize in Economic announced. Sciences, Monday, Oct. 14, 2013. (AP Photo/Mark Lennihan, File) "Their methods have shaped subsequent research in the field and their findings have been highly influential both academically and practically," the academy said. Three American professors won the Nobel prize for economics Monday for shedding light on how Monday morning, Hansen said he received a phone stock, bond and house prices move over time— call from Sweden while on his way to the gym. He work that's changed how people around the world said he wasn't sure how he'll celebrate but said he invest. -
An Intellectual History of Corporate Finance Theory
Saint Louis University Law Journal Volume 54 Number 4 Remaking Law: Moving Beyond Article 11 Enlightenment Jurisprudence (Summer 2010) 2010 The Enlightenment and the Financial Crisis of 2008: An Intellectual History of Corporate Finance Theory James R. Hackney Jr. Northeastern University School of Law, [email protected] Follow this and additional works at: https://scholarship.law.slu.edu/lj Part of the Law Commons Recommended Citation James R. Hackney Jr., The Enlightenment and the Financial Crisis of 2008: An Intellectual History of Corporate Finance Theory, 54 St. Louis U. L.J. (2010). Available at: https://scholarship.law.slu.edu/lj/vol54/iss4/11 This Childress Lecture is brought to you for free and open access by Scholarship Commons. It has been accepted for inclusion in Saint Louis University Law Journal by an authorized editor of Scholarship Commons. For more information, please contact Susie Lee. SAINT LOUIS UNIVERSITY SCHOOL OF LAW THE ENLIGHTENMENT AND THE FINANCIAL CRISIS OF 2008: AN INTELLECTUAL HISTORY OF CORPORATE FINANCE THEORY JAMES R. HACKNEY, JR.* Professor powell paints a sweeping account of the relationship between the Enlightenment and law. I agree with the basic thrust of his argument, and I applaud his ability to make connections between the broad scope of intellectual history and developments in law.1 I have previously written about the interconnection between philosophical ideals and the development of legal- economic theory as it particularly relates to tort law theory.2 Through his extension of these ideas into other areas of law, Professor powell illustrates their wide implications. As Professor powell highlights, one of the principal tenets of the Enlightenment is the belief in rationality and the focus on the individual as the emphasis of analysis.3 This individualistic ideal is the foundation of neoclassical economics, which I have previously detailed.4 It is also the foundation for modern finance theory, which ascended with neoclassical economics and has a close relationship with it both theoretically and institutionally. -
The Portfolio Optimization Performance During Malaysia's
Modern Applied Science; Vol. 14, No. 4; 2020 ISSN 1913-1844 E-ISSN 1913-1852 Published by Canadian Center of Science and Education The Portfolio Optimization Performance during Malaysia’s 2018 General Election by Using Noncooperative and Cooperative Game Theory Approach Muhammad Akram Ramadhan bin Ibrahim1, Pah Chin Hee1, Mohd Aminul Islam1 & Hafizah Bahaludin1 1Department of Computational and Theoretical Sciences Kulliyyah of Science International Islamic University Malaysia, 25200 Kuantan, Pahang, Malaysia Correspondence: Pah Chin Hee, Department of Computational and Theoretical Sciences, Kulliyyah of Science, International Islamic University Malaysia, 25200 Kuantan, Pahang, Malaysia. Received: February 10, 2020 Accepted: February 28, 2020 Online Published: March 4, 2020 doi:10.5539/mas.v14n4p1 URL: https://doi.org/10.5539/mas.v14n4p1 Abstract Game theory approach is used in this study that involves two types of games which are noncooperative and cooperative. Noncooperative game is used to get the equilibrium solutions from each payoff matrix. From the solutions, the values then be used as characteristic functions of Shapley value solution concept in cooperative game. In this paper, the sectors are divided into three groups where each sector will have three different stocks for the game. This study used the companies that listed in Bursa Malaysia and the prices of each stock listed in this research obtained from Datastream. The rate of return of stocks are considered as an input to get the payoff from each stock and its coalition sectors. The value of game for each sector is obtained using Shapley value solution concepts formula to find the optimal increase of the returns. The Shapley optimal portfolio, naive diversification portfolio and market portfolio performances have been calculated by using Sharpe ratio. -
Myron S. Scholes [Ideological Profiles of the Economics Laureates] Daniel B
Myron S. Scholes [Ideological Profiles of the Economics Laureates] Daniel B. Klein, Ryan Daza, and Hannah Mead Econ Journal Watch 10(3), September 2013: 590-593 Abstract Myron S. Scholes is among the 71 individuals who were awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel between 1969 and 2012. This ideological profile is part of the project called “The Ideological Migration of the Economics Laureates,” which fills the September 2013 issue of Econ Journal Watch. Keywords Classical liberalism, economists, Nobel Prize in economics, ideology, ideological migration, intellectual biography. JEL classification A11, A13, B2, B3 Link to this document http://econjwatch.org/file_download/766/ScholesIPEL.pdf ECON JOURNAL WATCH Schelling, Thomas C. 2007. Strategies of Commitment and Other Essays. Cambridge, Mass.: Harvard University Press. Schelling, Thomas C. 2013. Email correspondence with Daniel Klein, June 12. Schelling, Thomas C., and Morton H. Halperin. 1961. Strategy and Arms Control. New York: The Twentieth Century Fund. Myron S. Scholes by Daniel B. Klein, Ryan Daza, and Hannah Mead Myron Scholes (1941–) was born and raised in Ontario. His father, born in New York City, was a teacher in Rochester. He moved to Ontario to practice dentistry in 1930. Scholes’s mother moved as a young girl to Ontario from Russia and its pogroms (Scholes 2009a, 235). His mother and his uncle ran a successful chain of department stores. Scholes’s “first exposure to agency and contracting problems” was a family dispute that left his mother out of much of the business (Scholes 2009a, 235). In high school, he “enjoyed puzzles and financial issues,” succeeded in mathematics, physics, and biology, and subsequently was solicited to enter a engineering program by McMaster University (Scholes 2009a, 236-237). -
The Past, Present, and Future of Economics: a Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics
The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics Introduction John List Chairperson, Department of Economics Harald Uhlig Head Editor, Journal of Political Economy The Journal of Political Economy is celebrating its 125th anniversary this year. For that occasion, we decided to do something special for the JPE and for Chicago economics. We invited our senior colleagues at the de- partment and several at Booth to contribute to this collection of essays. We asked them to contribute around 5 pages of final printed pages plus ref- erences, providing their own and possibly unique perspective on the var- ious fields that we cover. There was not much in terms of instructions. On purpose, this special section is intended as a kaleidoscope, as a colorful assembly of views and perspectives, with the authors each bringing their own perspective and personality to bear. Each was given a topic according to his or her spe- cialty as a starting point, though quite a few chose to deviate from that, and that was welcome. Some chose to collaborate, whereas others did not. While not intended to be as encompassing as, say, a handbook chapter, we asked our colleagues that it would be good to point to a few key papers published in the JPE as a way of celebrating the influence of this journal in their field. It was suggested that we assemble the 200 most-cited papers published in the JPE as a guide and divvy them up across the contribu- tors, and so we did (with all the appropriate caveats). -
Opttek Systems, Inc. President Dr. Fred Glover Elected to Membership in National Academy of Engineering
OptTek Systems, Inc. President Dr. Fred Glover Elected to Membership In National Academy of Engineering Boulder, CO, February 18, 2002 – Dr. Fred Glover, President of OptTek Systems, Inc., and MediaOne Professor of Systems Science, Leeds School of Business, University of Colorado, Boulder was elected to membership in the National Academy of Engineering. This honor was bestowed to Dr. Glover for contributions to optimization modeling and algorithmic development, and for solving problems in distribution, planning, and design. Election to the National Academy of Engineering is one of the highest professional distinctions that can be accorded an engineer. Academy membership honors those who have made "important contributions to engineering theory and practice" and those who have demonstrated "unusual accomplishment in the pioneering of new and developing fields of technology." OptTek’s software, OptQuest®, which is well known in both the simulation and optimization communities, is based on the contributions of Professor Fred Glover, a founder of OptTek Systems, Inc. and a winner of the von Neumann Theory Prize (the highest and most distinguished award of the INFORMS Society, the John von Neumann Theory Prize is awarded annually to an individual who has made fundamental, sustained contributions to theory in operations research and the management sciences. Past recipients of this prize include Nobel Prize winners Kenneth Arrow, Herbert Simon and Harry Markowitz, and National Medal of Science winners George Dantzig and Richard Karp. Dr. Fred Glover won the award in 1998). “This award is yet another confirmation of the value that Dr. Glover’s methods have brought to the theory and practice of optimization and operations research. -
The Efficient Market Hypothesis
THE EFFICIENT MARKET HYPOTHESIS A Thesis Presented to the Faculty of California State Polytechnic University, Pomona In Partial Fulfillment Of the Requirements for the Degree Master of Science In Economics By Nora Alhamdan 2014 SIGNATURE PAGE THESIS: The Efficient Market Hypothesis AUTHOR: Nora Alhamdan DATE SUBMITTED: Spring 2014 Economics Department Dr. Carsten Lange _________________________________________ Thesis Committee Chair Economics Dr. Bruce Brown _________________________________________ Economics Dr. Craig Kerr _________________________________________ Economics ii ABSTRACT The paper attempts testing the random walk hypothesis, which the strong form of the Efficient Market Hypothesis. The theory suggests that stocks prices at any time “fully reflect” all available information (Fama, 1970). So, the price of a stock is a random walk (Enders, 2012). iii TABLE OF CONTENTS Signature Page .............................................................................................................. ii Abstract ......................................................................................................................... iii List of Tables ................................................................................................................ vi List of Figures ............................................................................................................... vii Introduction .................................................................................................................. 1 History ......................................................................................................................... -
Robert Merton and Myron Scholes, Nobel Laureates in Economic Sciences, Receive 2011 CME Group Fred Arditti Innovation Award
Robert Merton and Myron Scholes, Nobel Laureates in Economic Sciences, Receive 2011 CME Group Fred Arditti Innovation Award CHICAGO, Sept. 8, 2011 /PRNewswire/ -- The CME Group Center for Innovation (CFI) today announced Robert C. Merton, School of Management Distinguished Professor of Finance at the MIT Sloan School of Management and Myron S. Scholes, chairman of the Board of Economic Advisors of Stamos Partners, are the 2011 CME Group Fred Arditti Innovation Award recipients. Both recipients are recognized for their significant contributions to the financial markets, including the discovery and development of the Black-Scholes options pricing model, used to determine the value of options derivatives. The award will be presented at the fourth annual Global Financial Leadership Conference in Naples, Fla., Monday, October 24. "The Fred Arditti Award honors individuals whose innovative ideas created significant change to the markets," said Leo Melamed, CME Group Chairman Emeritus and Competitive Markets Advisory Council (CMAC) Vice Chairman. "The nexus between the Black-Scholes model and this Award needs no explanation. Their options model forever changed the nature of markets and provided the necessary foundation for the measurement of risk. The CME Group options markets were built on that infrastructure." "The Black-Scholes pricing model is still widely used to minimize risk in the financial markets," said Scholes, who first articulated the model's formula along with economist Fischer Black. "It is thrilling to witness the impact it has had in this industry, and we are honored to receive this recognition for it." "Amid uncertainty in the financial markets, we are pleased the Black-Scholes pricing model still plays an important role in determining pricing and managing risk," said Merton, who worked with Scholes and Black to further mathematically prove the model. -
Editor's Letter
Why I Shall Miss Merton Miller Peter L. Bernstein erton Miller’s death received the proper somewhere,” he recalls. Miller was instrumental in tak- notices due a winner of the Nobel Prize, but ing Sharpe to the Quadrangle Club in Chicago, where Mthese reports emphasize the importance of he could present his ideas to faculty members like his intellectual contributions rather than his significance Miller, Lorie, and Fama. The invitation led to an as a human being. Nobody gives out Nobel Prizes for appointment to join the Chicago faculty, and Sharpe being a superior member of the human race, but Miller and his theories were on their way. would surely have been a laureate if someone had ever Miller’s role in launching the Black-Scholes- decided to create such a prize. Merton option pricing model was even more deter- Quite aside from the extraordinary insights gained mining. In October 1970, the three young scholars from Modigliani-Miller, we owe Merton Miller a deep had completed their work, and began the search for a debt of gratitude for his efforts to promote the careers journal that would publish it. “A Theoretical Valuation of young scholars whose little-noted innovations would Formula for Options, Warrants, and Other in time rock the world of finance. Works at the core of Securities”—subsequently given the more palatable modern investment theory might still be gathering dust title of “The Pricing of Options and Corporate somewhere—or might not even have been created— Liabilities”—was promptly rejected by Chicago’s by guest on October 1, 2021. -
Letter in Le Monde
Letter in Le Monde Some of us ‐ laureates of the Nobel Prize in economics ‐ have been cited by French presidential candidates, most notably by Marine le Pen and her staff, in support of their presidential program with regards to Europe. This letter’s signatories hold a variety of views on complex issues such as monetary unions and stimulus spending. But they converge on condemning such manipulation of economic thinking in the French presidential campaign. 1) The European construction is central not only to peace on the continent, but also to the member states’ economic progress and political power in the global environment. 2) The developments proposed in the Europhobe platforms not only would destabilize France, but also would undermine cooperation among European countries, which plays a key role in ensuring economic and political stability in Europe. 3) Isolationism, protectionism, and beggar‐thy‐neighbor policies are dangerous ways of trying to restore growth. They call for retaliatory measures and trade wars. In the end, they will be bad both for France and for its trading partners. 4) When they are well integrated into the labor force, migrants can constitute an economic opportunity for the host country. Around the world, some of the countries that have been most successful economically have been built with migrants. 5) There is a huge difference between choosing not to join the euro in the first place and leaving it once in. 6) There needs to be a renewed commitment to social justice, maintaining and extending equality and social protection, consistent with France’s longstanding values of liberty, equality, and fraternity. -
Nine Lives of Neoliberalism
A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Plehwe, Dieter (Ed.); Slobodian, Quinn (Ed.); Mirowski, Philip (Ed.) Book — Published Version Nine Lives of Neoliberalism Provided in Cooperation with: WZB Berlin Social Science Center Suggested Citation: Plehwe, Dieter (Ed.); Slobodian, Quinn (Ed.); Mirowski, Philip (Ed.) (2020) : Nine Lives of Neoliberalism, ISBN 978-1-78873-255-0, Verso, London, New York, NY, https://www.versobooks.com/books/3075-nine-lives-of-neoliberalism This Version is available at: http://hdl.handle.net/10419/215796 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative