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

27

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106

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Scholarly Papers (27)

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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 792 (29,611)

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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 608 (42,283)

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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 467 ( 59,270)

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 364 (79,135)

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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 103 (257,245)

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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 413 ( 68,765)

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 254 (117,686)

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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 159 (183,361)

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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 396 ( 72,335)

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 396 (71,679)

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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.

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 377 (76,558)

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7.

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 370 (78,288)

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

8.

Predictors and Portfolios Over the Life Cycle

Downloads 344 ( 85,213)

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 189 (157,196)

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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 155 (187,343)

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Return predictability, scenarios, welfare, performance, housing

9.

Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Downloads 333 ( 88,365)

Optimal Consumption and Investment Strategies with Stochastic Interest Rates

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings
Number of pages: 44 Posted: 10 May 2001
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 333 (87,750)

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Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Journal of Banking and Finance, Vol. 28, No. 8, pp. 1987-2013, 2004
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 281 (106,291)

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 164 (178,528)

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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 117 (234,629)

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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 275 (108,800)

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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 265 (113,077)

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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 262 (114,449)

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

14.

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 254 (118,222)

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15.

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 249 (120,627)

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

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 236 (127,331)

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

17.

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 HEC Paris - Finance Department
Downloads 226 (132,936)

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

18.

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

Number of pages: 39 Posted: 24 May 2016 Last Revised: 21 Jun 2018
Claus Munk
Copenhagen Business School
Downloads 192 (155,056)

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

19.

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Number of pages: 47 Posted: 09 Jun 2011 Last Revised: 26 Apr 2012
Nicole Branger, Linda Sandris Larsen and Claus Munk
University of Muenster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 188 (158,023)

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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 172 (171,140)

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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 167 (175,590)

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22.

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

Downloads 147 (195,394)

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 147 (195,882)

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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

23.

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 130 (215,757)

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

24.

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

Number of pages: 41 Posted: 22 Apr 2018 Last Revised: 21 Dec 2018
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 61 (347,794)

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

25.

Solving Life Cycle Problems With Biometric Risk by Artificial Insurance Markets

Number of pages: 27 Posted: 14 Dec 2018
Christoph Hambel, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 26 (479,171)

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Life-Cycle Consumption, Biometric Risks, Insurance, Artificial Markets, Habit Formation

26.

Price Bounds on Bond Options, Swaptions, Caps, and Floors Assuming Only Nonnegative Interest Rates

International Review of Economics and Finance, Vol. 11, No. 4, 2002
Posted: 15 Dec 2002
Claus Munk
Copenhagen Business School

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

27.

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

European Finance Review, Vol. 3, No. 3
Posted: 29 Mar 2001
Claus Munk
Copenhagen Business School

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Contingent claims, dynamic programming, incomplete markets, reservation prices