Details about Claus Munk

Access statistics for papers by Claus Munk.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pmu286

Working Papers

2017

1. Predictors and portfolios over the life cycle: Skill vs. luck
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2015

2. Housing habits and their implications for life-cycle consumption and investment
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
   See also Journal Article Housing Habits and Their Implications for Life-Cycle Consumption and Investment*, Review of Finance, European Finance Association (2018) View citations (3) (2018)

2014

3. Consumption and wage humps in a life-cycle model with education
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2013

4. Consumption habits and humps
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
   See also Journal Article Consumption habits and humps, Economic Theory, Springer (2017) View citations (9) (2017)

2001

5. Optimal Consumption and Investment Strategies with Stochastic Interest Rates
   Working Papers, Copenhagen Business School, Department of Finance View citations (4)
   See also Journal Article Optimal consumption and investment strategies with stochastic interest rates, Journal of Banking & Finance, Elsevier (2004) View citations (36) (2004)
6. Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?
   Working Papers, Copenhagen Business School, Department of Finance View citations (1)

1998

7. The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem
   Finance, University Library of Munich, Germany View citations (2)

1997

8. No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio
   Finance, University Library of Munich, Germany
9. Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints
   Finance, University Library of Munich, Germany View citations (1)

Undated

10. Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2023

1. The Design and Welfare Implications of Mandatory Pension Plans
   Journal of Financial and Quantitative Analysis, 2023, 58, (8), 3420-3449

2022

2. Bequest motives in consumption-portfolio decisions with recursive utility
   Journal of Banking & Finance, 2022, 138, (C) View citations (10)
3. Solving life-cycle problems with biometric risk by artificial insurance markets
   Scandinavian Actuarial Journal, 2022, 2022, (4), 307-327 View citations (2)

2020

4. A mean-variance benchmark for household portfolios over the life cycle
   Journal of Banking & Finance, 2020, 116, (C) View citations (3)

2019

5. Hedging recessions
   Journal of Economic Dynamics and Control, 2019, 107, (C), -
6. Predictors and portfolios over the life cycle
   Journal of Banking & Finance, 2019, 100, (C), 1-27 View citations (2)

2018

7. Housing Habits and Their Implications for Life-Cycle Consumption and Investment*
   (The evolution of homeownership rates in selected OECD countries: demographic and public policy influences)
   Review of Finance, 2018, 22, (5), 1737-1762 View citations (3)
   See also Working Paper Housing habits and their implications for life-cycle consumption and investment, SAFE Working Paper Series (2015) (2015)

2017

8. Consumption habits and humps
   Economic Theory, 2017, 64, (2), 305-330 View citations (9)
   See also Working Paper Consumption habits and humps, SAFE Working Paper Series (2013) (2013)

2014

9. Options in Compensation: Promises and Pitfalls
   Journal of Accounting Research, 2014, 52, (3), 703-732 View citations (4)
10. Portfolio management with stochastic interest rates and inflation ambiguity
    Annals of Finance, 2014, 10, (3), 419-455 View citations (19)

2013

11. Asset allocation over the life cycle: How much do taxes matter?
    Journal of Economic Dynamics and Control, 2013, 37, (11), 2217-2240 View citations (2)
12. Robust portfolio choice with ambiguity and learning about return predictability
    Journal of Banking & Finance, 2013, 37, (5), 1397-1411 View citations (49)
13. Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies
    Management Science, 2013, 59, (2), 485-503 View citations (26)

2012

14. Equilibrium in securities markets with heterogeneous investors and unspanned income risk
    Journal of Economic Theory, 2012, 147, (3), 1035-1063 View citations (19)
15. The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts
    Journal of Economic Dynamics and Control, 2012, 36, (2), 266-293 View citations (29)

2011

16. Optimal Housing, Consumption, and Investment Decisions over the Life Cycle
    Management Science, 2011, 57, (6), 1025-1041 View citations (48)

2010

17. Dynamic asset allocation with stochastic income and interest rates
    Journal of Financial Economics, 2010, 96, (3), 433-462 View citations (76)

2008

18. Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
    Journal of Economic Dynamics and Control, 2008, 32, (11), 3560-3589 View citations (38)

2007

19. Bond durations: Corporates vs. Treasuries
    Journal of Banking & Finance, 2007, 31, (12), 3720-3741 View citations (5)

2004

20. Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?
    International Review of Economics & Finance, 2004, 13, (2), 141-166 View citations (38)
21. Optimal consumption and investment strategies with stochastic interest rates
    Journal of Banking & Finance, 2004, 28, (8), 1987-2013 View citations (36)
    See also Working Paper Optimal Consumption and Investment Strategies with Stochastic Interest Rates, Working Papers (2001) View citations (4) (2001)

2003

22. Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
    Journal of Economic Dynamics and Control, 2003, 28, (2), 209-253 View citations (19)

2002

23. Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates
    International Review of Economics & Finance, 2002, 11, (4), 335-347

2000

24. Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
    Journal of Economic Dynamics and Control, 2000, 24, (9), 1315-1343 View citations (27)

1999

25. Stochastic duration and fast coupon bond option pricing in multi-factor models
    Review of Derivatives Research, 1999, 3, (2), 157-181 View citations (16)
26. The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices
    Review of Finance, 1999, 3, (3), 347-388 View citations (6)

Books

2015

1. Financial Asset Pricing Theory
   OUP Catalogue, Oxford University Press View citations (8)
2. Fixed Income Modelling
   OUP Catalogue, Oxford University Press View citations (3)
   Also in OUP Catalogue, Oxford University Press (2011) View citations (10)