Claus Munk

Copenhagen Business School

Professor

Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

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

SCHOLARLY PAPERS

30

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10,047

SSRN CITATIONS
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SSRN RANKINGS

Top 8,038

in Total Papers Citations

161

CROSSREF CITATIONS

43

Scholarly Papers (30)

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 914 (46,758)
Citation 29

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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 771 (59,044)
Citation 26

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

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 423 (123,329)
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 171 (310,055)
Citation 3

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

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 306 (176,726)

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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 233 (233,239)
Citation 11

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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.

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 454 (114,636)
Citation 43

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

6.
Downloads 449 (116,219)
Citation 2

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 229 (237,079)

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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 220 (246,386)

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Return predictability, scenarios, welfare, performance, housing

7.
Downloads 446 (117,164)
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
University of Southern Denmark, Aarhus UniversityUniversity of Southern Denmark - Department of Business and Economics and Copenhagen Business School
Downloads 446 (115,877)
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
University of Southern Denmark, Aarhus UniversityUniversity 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

8.

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 426 (123,618)
Citation 2

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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 385 (137,497)
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.

Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk

Number of pages: 38 Posted: 23 Mar 2009 Last Revised: 24 Dec 2016
Copenhagen Business School - Department of Finance, Rutgers, The State University of New Jersey and Copenhagen Business School
Downloads 344 (156,974)
Citation 1

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

11.
Downloads 343 (157,466)
Citation 4

Consumption Habits and Humps

SAFE Working Paper No. 15
Number of pages: 37 Posted: 04 May 2013 Last Revised: 11 Jul 2015
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 200 (269,272)
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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and Goethe University Frankfurt
Downloads 143 (360,767)

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

12.

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 318 (170,856)
Citation 3

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

13.

Bequest Motives in Consumption-Portfolio Decisions with Recursive Utility

Number of pages: 39 Posted: 10 Jan 2020 Last Revised: 10 Dec 2021
Holger Kraft, Claus Munk and Farina Weiss
Goethe University Frankfurt, Copenhagen Business School and Goethe University Frankfurt
Downloads 310 (175,508)

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

14.

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 308 (176,679)
Citation 5

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

15.

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 308 (176,679)

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16.

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 302 (180,355)

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

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 302 (180,355)

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

18.

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

Number of pages: 23 Posted: 04 Mar 2002
Copenhagen Business School, Copenhagen Business School - Department of Finance and SimCorp
Downloads 300 (181,607)
Citation 1

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19.

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 16 Nov 2012
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School
Downloads 294 (185,571)
Citation 7

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

20.

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

Number of pages: 80 Posted: 22 Apr 2018 Last Revised: 12 Jul 2022
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and Copenhagen Business School
Downloads 289 (188,815)
Citation 3

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

21.

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 284 (192,280)
Citation 10

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

22.

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Number of pages: 47 Posted: 09 Jun 2011 Last Revised: 15 Jan 2020
University of Münster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 261 (209,450)
Citation 5

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

23.

Hedging Recessions

Number of pages: 47 Posted: 08 Sep 2017 Last Revised: 13 Jun 2018
University of Münster - Finance Center Muenster, Copenhagen Business School and Copenhagen Business School
Downloads 241 (226,593)
Citation 2

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

24.

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 221 (246,202)

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interest rate risk, duration, default risk, intensity models

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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 205 (263,281)

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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
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

26.

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

Number of pages: 44 Posted: 17 Aug 2000
University of Southern Denmark, Copenhagen Business School and affiliation not provided to SSRN
Downloads 200 (269,956)
Citation 1

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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
Tilburg University - Department of Econometrics & Operations Research, Goethe University Frankfurt and Copenhagen Business School
Downloads 132 (383,210)

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

28.

Portfolio Choice with ETFs

Number of pages: 35 Posted: 18 Jan 2024
Tom Ernst, Holger Kraft and Claus Munk
Goethe University Frankfurt, Goethe University Frankfurt and Copenhagen Business School
Downloads 107 (448,301)

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Physical ETFs, synthetic ETFs, investor welfare, background risk, counter-cyclical investment

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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