Claus Munk

Copenhagen Business School

Professor

Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

http://sites.google.com/view/clausmunk/home

  • Copenhagen Business School

SCHOLARLY PAPERS

29

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91

CROSSREF CITATIONS

44

Scholarly Papers (29)

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1.

Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models

Number of pages: 25 Posted: 02 Sep 1998
Claus Munk
Copenhagen Business School
Downloads 824 (35,391)
Citation 26

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2.

Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle

Number of pages: 63 Posted: 08 Mar 2008 Last Revised: 12 Jan 2011
Holger Kraft and Claus Munk
Goethe University Frankfurt and Copenhagen Business School
Downloads 679 (46,087)
Citation 13

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Housing, labor income, portfolio choice, life-cycle decisions, recursive utility

3.

Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies

Downloads 487 ( 70,229)
Citation 9

Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies

Number of pages: 44 Posted: 11 Mar 2009 Last Revised: 17 Apr 2012
Björn Bick, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 377 (94,331)
Citation 9

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Optimal consumption and investment, numerical solution, labor income, incomplete markets, artificially unconstrained markets, welfare loss

Investment, Income, and Incompleteness

Number of pages: 30 Posted: 16 Feb 2009
Björn Bick, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 110 (297,469)
Citation 3

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Optimal consumption and investment, labor income, incomplete markets, artificially completed markets, welfare loss

4.

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

Downloads 453 ( 76,751)
Citation 5

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

Number of pages: 35 Posted: 20 Feb 2015 Last Revised: 26 Jan 2017
Holger Kraft, Claus Munk and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 267 (137,545)

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Habit Formation, Life-Cycle Household Decisions, Housing Expenditure Share, Consumption Hump, Stock Market Participation, Renting vs. Owning Home, Human Capital

Housing Habits and Their Implications for Life-Cycle Consumption and Investment

SAFE Working Paper No. 85
Number of pages: 37 Posted: 24 Feb 2015 Last Revised: 26 Jan 2017
Holger Kraft, Claus Munk and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 186 (194,807)
Citation 5

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Habit Formation, Life-Cycle Household Decisions, Housing Expenditure Share, Consumption Hump, Stock Market Participation, Renting vs. Owning Home, Human Capital

5.

Options in Compensation: Promises and Pitfalls

Downloads 412 ( 85,785)
Citation 2

Options in Compensation: Promises and Pitfalls

Forthcoming, Journal of Accounting Research
Number of pages: 32 Posted: 06 Jun 2006 Last Revised: 31 Jan 2014
Christian Riis Flor, Hans Frimor and Claus Munk
University of Southern Denmark, University of Southern Denmark - Department of Business and Economics and Copenhagen Business School
Downloads 412 (85,023)
Citation 2

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Induced moral hazard, incentives for investment, option-based compensation, excessive risk-taking, capped compensation, regulation.

Options in Compensation: Promises and Pitfalls

Journal of Accounting Research, Vol. 52, No. 3, 2014
Posted: 11 Sep 2014
Christian Riis Flor, Hans Frimor and Claus Munk
University of Southern Denmark, University of Southern Denmark - Department of Business and Economics and Copenhagen Business School

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Induced moral hazard, incentives for investment, option-based compensation, excessive risk-taking, capped compensation, regulation

6.

Dynamic Asset Allocation with Stochastic Income and Interest Rates

EFA 2006 Zurich Meetings
Number of pages: 63 Posted: 02 Mar 2005 Last Revised: 05 Aug 2009
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 388 (91,909)
Citation 30

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Portfolio management, labor income risk, interest rate risk, hedging, borrowing constraints, life-cycle

7.

Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates

Number of pages: 22 Posted: 17 Dec 1999
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 385 (92,777)
Citation 2

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8.

Predictors and Portfolios Over the Life Cycle

Downloads 376 ( 95,409)

Predictors and Portfolios Over the Life Cycle

Netspar Discussion Paper No. 01/2016-010
Number of pages: 61 Posted: 09 Mar 2016 Last Revised: 13 Jun 2018
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 201 (181,531)

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Return predictability, scenarios, welfare, performance, housing

Predictors and Portfolios Over the Life Cycle

SAFE Working Paper No. 139
Number of pages: 63 Posted: 01 Jun 2016 Last Revised: 13 Jun 2018
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 175 (205,611)

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Return predictability, scenarios, welfare, performance, housing

9.

Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Downloads 349 (103,719)
Citation 7

Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Number of pages: 44 Posted: 10 May 2001
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 349 (102,988)
Citation 7

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Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Posted: 17 Jun 2004
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance

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Dynamic asset allocation, hedging, term structure of interest rates

10.

Consumption Habits and Humps

Downloads 290 (126,780)
Citation 2

Consumption Habits and Humps

SAFE Working Paper No. 15
Number of pages: 37 Posted: 04 May 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 171 (209,845)
Citation 1

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Consumption hump, life-cycle utility maximization, habit formation, impatience

Consumption Habits and Humps

Number of pages: 36 Posted: 29 Apr 2013 Last Revised: 11 Jul 2015
Holger Kraft, Claus Munk, Frank Thomas Seifried and Sebastian Wagner
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 119 (281,173)

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consumption hump, life-cycle utility maximization, habit formation, impatience

11.

The Valuation of Contingent Claims Under Portfolio Constraints: Reservation Buying and Selling Prices

Number of pages: 42 Posted: 19 Oct 1998
Claus Munk
Copenhagen Business School
Downloads 279 (132,036)

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12.

The Costs of Suboptimal Dynamic Asset Allocation: General Results and Applications to Interest Rate Risk, Stock Volatility Risk, and Growth/Value Tilts

Number of pages: 62 Posted: 19 Feb 2009 Last Revised: 08 Apr 2011
Linda Sandris Larsen and Claus Munk
Copenhagen Business School and Copenhagen Business School
Downloads 276 (133,520)
Citation 4

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Suboptimal investments, wealth-equivalent utility loss, stochastic interest rates, stochastic volatility, growth and value stocks, mean reversion in stock returns

13.

Asset Allocation Over the Life Cycle: How Much Do Taxes Matter?

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 54 Posted: 26 Sep 2010 Last Revised: 17 May 2013
Holger Kraft, Marcel Fischer and Claus Munk
Goethe University Frankfurt, Copenhagen Business School and Copenhagen Business School
Downloads 274 (134,584)

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Portfolio Choice, Life Cycle Asset Allocation, Taxation, Unspanned Labor Income

14.

Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk

Number of pages: 38 Posted: 23 Mar 2009 Last Revised: 24 Dec 2016
Peter O. Christensen, Kasper Larsen and Claus Munk
Copenhagen Business School - Department of Finance, Rutgers, The State University of New Jersey and Copenhagen Business School
Downloads 263 (140,321)
Citation 1

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Unspanned income, heterogeneous preferences, continuous-time equilibrium, risk-free rate puzzle, equity premium, incomplete markets, Brownian motion

15.

Portfolio Choice Under Inflation: Are Popular Recommendations Consistent with Rational Behavior?

Number of pages: 23 Posted: 04 Mar 2002
Claus Munk, Carsten Sørensen and Tina Nygaard Vinther
Copenhagen Business School, Copenhagen Business School - Department of Finance and SimCorp
Downloads 261 (141,390)
Citation 1

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16.

Portfolio and Consumption Choice with Stochastic Investment Opportunities and Habit Formation in Preferences

Number of pages: 43 Posted: 01 Mar 2002
Claus Munk
Copenhagen Business School
Downloads 249 (148,194)
Citation 10

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Habit formation, optimal consumption and portfolio, intertemporal hedging, mean reversion in stock prices, stochastic interest rates, stochastic income

17.

A Mean-Variance Benchmark for Household Portfolios over the Life Cycle

Number of pages: 43 Posted: 24 May 2016 Last Revised: 06 Feb 2020
Claus Munk
Copenhagen Business School
Downloads 240 (153,625)

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Life-cycle portfolio decisions, human capital, housing, stock market participation, growth/value tilts

18.

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 16 Nov 2012
Peter Feldhütter, Linda Sandris Larsen, Claus Munk and Anders B. Trolle
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 239 (154,194)
Citation 7

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Suboptimal investments, parameter uncertainty, utility losses, bond portfolios, MCMC estimation

19.

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Number of pages: 47 Posted: 09 Jun 2011 Last Revised: 15 Jan 2020
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Muenster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 203 (180,044)
Citation 5

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return predictability, portfolio choice, ambiguity, learning, robust control

20.

Bond Durations: Corporates vs. Treasuries

Number of pages: 24 Posted: 14 Mar 2006
Claus Munk and Holger Kraft
Copenhagen Business School and Goethe University Frankfurt
Downloads 181 (199,622)

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interest rate risk, duration, default risk, intensity models

21.

Optimal Consumption and Investment Strategies with a Perishable and an Indivisible Durable Consumption Good

Number of pages: 44 Posted: 17 Aug 2000
Anders Damgaard, Claus Munk and Brian Fuglsbjerg
University of Southern Denmark, Copenhagen Business School and affiliation not provided to SSRN
Downloads 174 (206,558)
Citation 1

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22.

Hedging Recessions

Number of pages: 47 Posted: 08 Sep 2017 Last Revised: 13 Jun 2018
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Muenster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 168 (212,808)
Citation 1

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Unemployment risk, Business cycle, Life-cycle model, Portfolio planning

23.

Consumption and Wage Humps in a Life-Cycle Model with Education

Downloads 166 (214,969)

Consumption and Wage Humps in a Life-Cycle Model with Education

SAFE Working Paper No. 53
Number of pages: 49 Posted: 21 Jun 2014 Last Revised: 17 Apr 2019
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 166 (215,179)

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Education, leisure, consumption hump, wage hump

Consumption and Wage Humps in a Life-Cycle Model with Education

Posted: 11 Jun 2014 Last Revised: 02 Oct 2017
Holger Kraft, Claus Munk, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

24.

How Do Interest-Only Mortgages Affect Consumption and Saving Over the Life Cycle?

Number of pages: 54 Posted: 22 Apr 2018 Last Revised: 23 Sep 2019
Linda Sandris Larsen, Claus Munk, Rikke Sejer Nielsen and Jesper Rangvid
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School
Downloads 122 (274,909)
Citation 1

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interest-only mortgages; consumption and savings pattern; life-cycle planning; financial constraints

25.

The Design and Welfare Implications of Mandatory Pension Plans

Number of pages: 53 Posted: 08 Jul 2019 Last Revised: 07 May 2021
Linda Sandris Larsen and Claus Munk
Copenhagen Business School and Copenhagen Business School
Downloads 120 (278,223)

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Retirement savings, life cycle, consumption, investment, annuitization, welfare, procrastination, non-participation

26.

Bequest Motives in Consumption-Portfolio Decisions with Recursive Utility

Number of pages: 28 Posted: 10 Jan 2020 Last Revised: 29 Jun 2020
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 119 (279,933)

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consumption-portfolio choice, life-cycle decisions, finite horizon, terminal condition, weight on bequest, stochastic differential utility

27.

Solving Life Cycle Problems With Biometric Risk by Artificial Insurance Markets

Number of pages: 28 Posted: 14 Dec 2018 Last Revised: 20 Apr 2021
Christoph Hambel, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 60 (423,015)

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dynamic programming, life-cycle models, biometric risk, insurance, habit formation

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Interest rate options, no-arbitrage price bounds, non-negative interest rates

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Contingent claims, dynamic programming, incomplete markets, reservation prices