Pioneering Papers of Nobel Prize Laureates

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Pioneering Papers of Nobel Prize Laureates

  1. 1. Pioneering Papers of the Nobel newMemorial Laureates in Economics seriesEdited by Howard R. Vane and Chris Mulhearn ‘What a brilliant idea! To provide readers with both information on the Nobel Laureates in Economics and, to the degree possible,About the series: the original papers for which they were honored. The names of the “contributing” Laureates speak for themselves. Howard Vane andTo mark the 40th anniversary of the first Chris Mulhearn, the editors, and Edward Elgar, the publisher, are toNobel Memorial Prize in Economics, be congratulated for putting the idea into effect.’this groundbreaking series brings – Warren J. Samuels, Michigan State University, UStogether a critical selection of keypapers by the Laureates that have ‘These volumes complement Vane and Mulhearn’s criticallyhelped shape the development acclaimed book, The Nobel Memorial Laureates in Economics,of modern economics. The editors and are an indispensable guide to key developments in modern economics.’have organised this comprehensiveseries by theme and each volume – Mark Blaug, Universities of London and Buckingham, UKfocuses on Laureates working in the ‘The nature, content and boundaries of economics are changing.same broad area of study. Each There is no better way of examining the key contributions that havecareful selection of papers is set in shaped the discipline in the last half century than by looking atcontext by an insightful introduction the pioneering works of the Nobel Laureates in Economics. Theseto the Laureates’ careers and main volumes not only provide a treasure house of material of high intrinsicpublished works. This landmark series worth, but also help us to understand what kind of approaches andwill be an essential reference source ideas have been successful in persuading other economists, andfor scholars throughout the world. 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 Edward Elgar Publishing ■ www.e-elgar.com
  2. 2. Pioneering Papers of the Harry M. Markowitz, Merton H. Miller, 2 Nobel Memorial Laureates William F. Sharpe, Robert C. Merton and Myron S. Scholes in Economics series Acknowledgements • General Introduction Edited by Howard R. Vane, Professor of Economics, Liverpool John Moores University PART I HARRY M. MARKOWITZ and Chris Mulhearn, Reader in Economics, Introduction to Part I: Howard R. Vane and Chris Mulhearn Liverpool John Moores University, UK 1. Harry M. Markowitz (1952a), ‘Portfolio Selection’ 2. Harry M. Markowitz (1952b), ‘The Utility of Wealth’ 3. H. Levy and Harry M. Markowitz (1979), ‘Approximating Expected Utility by a Function of Mean and Variance’Milton Friedman, Robert E. Lucas, Jr. 1 4. Harry M. Markowitz and Eric L. van Dijk (2003), ‘Single-Periodand Edmund S. Phelps Mean-Variance Analysis in a Changing World’Acknowledgements • General Introduction PART II MERTON H. MILLERPART I MILTON FRIEDMAN Introduction to Part II: Howard R. Vane and Chris MulhearnIntroduction to Part I: 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’1. Milton Friedman (1953a), ‘The Methodology of Positive Economics’ 6. Franco Modigliani and Merton H. Miller (1959), ‘The Cost of Capital, Corporation Finance and the Theory of Investment: Reply’2. Milton Friedman (1953b), ‘The Case for Flexible 7. Merton H. Miller and Franco Modigliani (1961), ‘Dividend Policy, Exchange Rates’ Growth, and the Valuation of Shares’3. Milton Friedman (1956), ‘The Quantity Theory of 8. Franco Modigliani and Merton H. Miller (1963), ‘Corporate Income Money – A Restatement’ Taxes and the Cost of Capital: A Correction’4. Milton Friedman and Anna J. Schwartz (1963), 9. Merton H. Miller and Franco Modigliani (1966), ‘Some Estimates ‘Money and Business Cycles’ of the Cost of Capital to the Electric Utility Industry, 1954–57’5. Milton Friedman (1968), ‘The Role of Monetary Policy’ 10. Merton H. Miller (1977), ‘Debt and Taxes’6. Milton Friedman (1977), ‘Nobel Lecture: Inflation and PART III WILLIAM F. SHARPE Unemployment’ Introduction to Part III: Howard R. Vane and Chris MulhearnPART II ROBERT E. LUCAS Jr. 11. William F. Sharpe (1963), ‘A Simplified Model For Portfolio Analysis’ 12. William F. Sharpe (1964), ‘Capital Asset Prices: A Theory of MarketIntroduction to Part II: Howard R. Vane and Chris Mulhearn Equilibrium Under Conditions of Risk’7. Robert E. Lucas, Jr. (1972), ‘Expectations and the 13. William F. Sharpe (1966), ‘Mutual Fund Performance’ Neutrality of Money’ 14. William F. Sharpe (1978), ‘Bank Capital Adequacy, Deposit 8. Robert E. Lucas, Jr. (1973), ‘Some International Insurance, and Security Values’ Evidence on Output-Inflation Tradeoffs’ PART IV ROBERT C. MERTON9. Robert E. Lucas, Jr. (1975), ‘An Equilibrium Model of the Business Cycle’ Introduction to Part IV: Howard R. Vane and Chris Mulhearn 15. Robert C. Merton (1969), ‘Lifetime Portfolio Selection Under10. Robert E. Lucas, Jr. (1976), ‘Econometric Policy Uncertainty: The Continuous-Time Case’ Evaluation: A Critique’ 16. Robert C. Merton (1971), ‘Optimum Consumption and Portfolio11. Robert E. Lucas, Jr. (1978), ‘Asset Prices in an Rules in a Continuous-Time Model’ Exchange Economy’ 17. Robert C. Merton (1973a), ‘Theory of Rational Option Pricing’12. Robert E. Lucas, Jr. (1988), ‘On the Mechanics of 18. Robert C. Merton (1973b), ‘An Intertemporal Capital Asset Economic Development’ Pricing Model’ 19. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt:PART III EDMUND S. PHELPS The Risk Structure of Interest Rates’Introduction to Part III: Howard R. Vane and Chris Mulhearn 20. Robert C. Merton (1977), ‘On the Pricing of Contingent Claims13. Edmund S. Phelps (1961), ‘The Golden Rule of and the Modigliani-Miller Theorem’ Accumulation: A Fable for Growthmen’ PART V MYRON S. SCHOLES14. Edmund S. Phelps (1966), ‘Models of Technical Introduction to Part V: Howard R. Vane and Chris Mulhearn Progress and the Golden Rule of Research’ 21. Fischer Black and Myron S. Scholes (1972), ‘The Valuation of15. Edmund S. Phelps (1967), ‘Phillips Curves, Expectations Option Contracts and a Test of Market Efficiency’ of Inflation and Optimal Unemployment Over Time’ 22. Fischer Black and Myron S. Scholes (1973), ‘The Pricing of Options16. Edmund S. Phelps (1968), ‘Money-Wage Dynamics and Corporate Liabilities’ and Labor-Market Equilibrium’ 23. Fischer Black and Myron S. Scholes (1974), ‘The Effects of Dividend17. E.S. Phelps and R.A. Pollak (1968), ‘On Second-Best Yield and Dividend Policy on Common Stock Prices and Returns’ National Saving and Game-Equilibrium Growth’ 24. Myron S. Scholes and Joseph Williams (1977), ‘Estimating Betas from Nonsynchronous Data’18. Edmund S. Phelps and John B. Taylor (1977), 25. Merton H. Miller and Myron S. Scholes (1978), ‘Dividends and ‘Stabilizing Powers of Monetary Policy under Rational Taxes’ Expectations’ Name IndexName Index Feb 2009 c 576 pp Hardback 978 1 84720 838 5 c £145.00Feb 2009 c 480 pp Hardback 978 1 84720 837 8 c £120.00 to order, telephone visit our website for further info email +44 1235 465500 www.e-elgar.com info@e-elgar.co.uk
  3. 3. Pioneering Papers of the Nobel Memorial Laureates in Economics seriesTrygve Haavelmo, James J. Heckman, 3 Wassily W. Leontief, 4Daniel L. McFadden, Robert F. Engle Leonid V. Kantorovich,and Clive W.J. Granger Tjalling C. Koopmans and Richard N. StoneAcknowledgements • General Introduction Acknowledgements • General IntroductionPART I TRYGVE HAAVELMO PART I WASSILY W. LEONTIEFIntroduction to Part I: Howard R. Vane and Chris Mulhearn Introduction to Part I: Howard R. Vane and Chris Mulhearn1. Trygve Haavelmo (1943a), ‘The Statistical Implications 1. Wassily W. Leontief (1936), ‘Quantitative Input and Output of a System of Simultaneous Equations’ Relations in the Economic System of the United States’2. Trygve Haavelmo (1943b), ‘Statistical Testing of Business-Cycle 2. Wassily W. Leontief (1946), ‘Wages, Profits and Prices’ Theories’ 3. Wassily W. Leontief (1953a), ‘Dynamic Analysis’3. Trygve Haavelmo (1944), ‘The Probability Approach in Econometrics’ 4. Wassily W. Leontief (1953b), ‘Domestic Production and4. M.A. Girshick and Trygve Haavelmo (1947), ‘Statistical Analysis of the Demand for Food: Examples of Simultaneous Estimation Foreign Trade; The American Capital Position of Structural Equations’ Re-examined’PART II JAMES J. HECKMAN 5. Wassily W. Leontief (1956), ‘Factor Proportions and the Structure of American Trade: Further Theoretical andIntroduction to Part II: Howard R. Vane and Chris Mulhearn Empirical Analysis’5. James J. Heckman (1974), ‘Shadow Prices, Market Wages 6. Wassily W. Leontief (1970), ‘Environmental Repercussions and Labor Supply’ and the Economic Structure: An Input–Output Approach’6. James J. Heckman (1976), ‘A Life-Cycle Model of Earnings, Learning, and Consumption’ PART II LEONID V. KANTOROVICH7. James J. Heckman (1979), ‘Sample Selection Bias as a Introduction to Part II: Howard R. Vane and Chris Mulhearn Specification Error’ 7. Leonid V. Kantorovich (1958), ‘On the Translocation of8. James J. Heckman (1990), ‘Varieties of Selection Bias’ Masses’9. Stephen V. Cameron and James J. Heckman (1998), 8. Leonid V. Kantorovich (1960), ‘Mathematical Methods ‘Life Cycle Schooling and Dynamic Selection Bias: of Organizing and Planning Production’ Models and Evidence for Five Cohorts of American Males’ 9. Leonid V. Kantorovich (1964), ‘Further Development of10. James J. Heckman, Thomas M. Lyons and Petra E. Todd (2000), Mathematical Methods and the Prospects of Their ‘Understanding Black-White Wage Differentials, 1960–1990’ Application in Economic Planning’PART III DANIEL L. McFADDEN 10. Leonid V. Kantorovich (1976), ‘Economic Problems of Scientific and Technical Progress’Introduction to Part III: Howard R. Vane and Chris Mulhearn11. Daniel L. McFadden (1974), ‘Conditional Logit Analysis 11. Leonid V. Kantorovich (1989), ‘Mathematics in Economics: of Qualitative Choice Behavior’ Achievements, Difficulties, Perspectives – Nobel Memorial12. Daniel L. McFadden (1975), ‘The Revealed Preferences Lecture, December 11, 1975’ of a Government Bureaucracy: Theory’ PART III TJALLING C. KOOPMANS13. Daniel L. McFadden (1976), ‘The Revealed Preferences Introduction to Part III: Howard R. Vane and Chris Mulhearn of a Government Bureaucracy: Empirical Evidence’ 12. Tjalling C. Koopmans (1945), ‘Statistical Estimation of14. Daniel L. McFadden (1978), ‘Modelling the Choice of Residential Simultaneous Economic Relations’ Location’ 13. Tjalling C. Koopmans (1947), ‘Measurement WithoutPART IV ROBERT F. ENGLE Theory’Introduction to Part IV: Howard R. Vane and Chris Mulhearn 14. Tjalling C. Koopmans (1949), ‘Identification Problems in15. Robert F. Engle (1982), ‘Autoregressive Conditional Economic Model Construction’ Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation’ 15. Tjalling C. Koopmans ([1951] 1971), ‘Analysis of Production as an Efficient Combination of Activities’16. Robert F. Engle, David M. Lilien and Russell P. Robins (1987), ‘Estimating Time-Varying Risk Premia in the Term Structure: 16. Tjalling C. Koopmans (1964), ‘Economic Growth at a the ARCH-M Model’ Maximal Rate’17. Robert F. Engle and C.W.J. Granger (1987), ‘Co-integration 17. Tjalling C. Koopmans (1965), ‘On the Concept of Optimal and Error Correction: Representation, Estimation and Testing’ Economic Growth’PART V CLIVE W.J. GRANGER PART IV J. RICHARD N. STONEIntroduction to Part V: Howard R. Vane and Chris Mulhearn Introduction to Part IV: Howard R. Vane and Chris Mulhearn18. C.W.J. Granger (1969), ‘Investigating Causal Relations by 18. J.E. Meade and J. Richard N. Stone (1941), ‘The Econometric Models and Cross–Spectral Methods’ Construction of Tables of National Income, Expenditure,19. J.M Bates and C.W.J. Granger (1969), ‘The Combination of Forecasts’ Savings and Investment’20. C.W.J. Granger and P. Newbold (1974), ‘Spurious Regressions 19. J. Richard N. Stone (1945), ‘The Analysis of Market Demand’ in Econometrics’ 20. J. Richard N. Stone (1947), ‘Definition and Measurement21. C.W.J. Granger (1981), ‘Some Properties of Time Series Data of the National Income and Related Totals’ and Their Use in Econometric Model Specification’ 21. J. Richard N. Stone (1954), ‘Linear Expenditure Systems22. C.W.J. Granger and A.A. Weiss (1983), ‘Time Series and Demand Analysis: An Application to the Pattern of Analysis of Error Correction Models’ British Demand’Name Index Name IndexFeb 2009 c 576 pp Hardback 978 1 84720 839 2 c £145.00 Feb 2009 c 736 pp Hardback 978 1 84720 840 8 c £170.00
  4. 4. Pioneering Papers of the Nobel Memorial Laureates in Economics seriesJohn C. Harsanyi, John F. Nash Jr., 5 Forthcoming volumes – due January 2010:Reinhard Selten, Robert J. Aumannand Thomas C. Schelling 6. James A. Mirrlees, William S. Vickrey,Acknowledgements • General Introduction George A. Akerlof, A. Michael SpencePART I JOHN C. HARSANYI and Joseph E. StiglitzIntroduction to Part I: Howard R. Vane and Chris Mulhearn1. John C. Harsanyi (1967), ‘Games With Incomplete Information Jan 2010 c 640 pp Played By “Bayesian” Players, I-III. Part I. The Basic Model’ Hardback 978 1 84844 357 0 c £160.002. John C. Harsanyi (1968a), ‘Games With Incomplete Information Played By “Bayesian” Players, Part II. Bayesian 7. James Tobin, Franco Modigliani, Equilibrium Points’ Finn E. Kydland and Edward C. Prescott3. John C. Harsanyi (1968b), ‘Games With Incomplete Information Played By ‘Bayesian’ Players, Part III. The Basic Jan 2010 c 528 pp Probability Distribution of the Game’ Hardback 978 1 84844 360 0 c £135.00PART II JOHN F. NASH Jr.Introduction to Part II: Howard R. Vane and Chris Mulhearn 8. Paul A. Samuelson, John R. Hicks,4. John F. Nash Jr. (1950a), ‘Equilibrium Points in N-Person Games’ Kenneth J. Arrow, Gerard Debreu5. John F. Nash Jr. (1950b), ‘The Bargaining Problem’ and Maurice F.C. Allais6. John F. Nash Jr. (1951), ‘Non-Cooperative Games’7. John F. Nash Jr. (1953), ‘Two-Person Cooperative Games’ Jan 2010 c 544 pp Hardback 978 1 84844 359 4 c £140.00PART III REINHARD SELTENIntroduction to Part III: Howard R. Vane and Chris Mulhearn8. Reinhard Selten (1975), ‘Reexamination of the Perfectness 9. Simon S. Kuznets, Theodore W. Schultz, Concept for Equilibrium Points in Extensive Games’ W. Arthur Lewis and Robert M. Solow9. Reinhard Selten (1983), ‘A Model of Oligopolistic Size, Structure and Profitability’ Jan 2010 c 464 pp Hardback 978 1 84844 358 7 c £120.0010. einhard Selten and Peter Hammerstein (1984), ‘Gaps in R Harley’s Argument on Evolutionarily Stable Learning Rules and in the Logic of “Tit for Tat”’ 10. Bertil G. Ohlin, James E. Meade11. einhard Selten (1990), ‘Bounded Rationality’ R and Robert A. Mundell12. einhard Selten, Michael Mitzkewitz and Gerald R. Uhlich R (1997), ‘Duopoly Strategies Programmed by Experienced Jan 2010 c 416 pp Players’ Hardback 978 1 84844 361 7 c £105.00PART IV ROBERT J. AUMANNIntroduction to Part IV: Howard R. Vane and Chris Mulhearn Further volumes to follow in 201113. obert J. Aumann (1959), ‘Acceptable Points in General R Cooperative n-Person Games’14. obert J. Aumann and Michael B. Maschler ([1966], 1995), R ‘Game Theoretic Aspects of Gradual Disarmament’ To order, please contact:15. Robert J. Aumann (1974), ‘Subjectivity and Correlation in Randomized Strategies’ Marston Book Services Limited16. obert J. Aumann (1976), ‘Agreeing to Disagree’ R PO Box 269, Abingdon OXON OX14 4YN UK17. obert J. Aumann and Lloyd L. Shapley (1976), ‘Long-Term R Competition: A Game Theoretic Analysis’ Tel: + 44 1235 465500 • Fax: + 44 1235 465555 Email: direct.order@marston.co.uk18. obert J. Aumann (1987), ‘Correlated Equilibrium as an R Expression of Bayesian Rationality’ www.marston.co.ukPART V THOMAS C. SCHELLINGIntroduction to Part V: Howard R. Vane and Chris Mulhearn19. homas C. Schelling (1956), ‘An Essay on Bargaining’ T For more information, please contact:20. homas C. Schelling (1957), ‘Bargaining, Communication, T The Sales and Marketing Department and Limited War’ Edward Elgar Publishing Limited21. homas C. Schelling (1971), ‘Dynamic Models of Segregation’ T The Lypiatts, 15 Lansdown Road22. Thomas C. Schelling (1980), ‘The Intimate Contest for Cheltenham, Glos GL50 2JA UK Self-Command’ Tel: +44 1242 22693423. homas C. Schelling (1983), ‘Ethics, Law, and the Exercise T Fax: +44 1242 262111 of Self-Command’ Email: info@e-elgar.co.uk24. homas C. Schelling (1984), ‘Self-Command in Practice, T in Policy, and in a Theory of Rational Choice’ Visit our website for 10% discount on pre-paid ordersName Index www.e-elgar.comFeb 2009 c 528 pp Hardback 978 1 84720 841 5 c £145.00 to order, telephone visit our website for further info email +44 1235 465500 www.e-elgar.com info@e-elgar.co.uk EE2

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