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Claus Munk

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Personal Details

First Name: Claus
Middle Name:
Last Name: Munk
Suffix:

RePEc Short-ID: pmu286

Email: [This author has chosen not to make the email address public]
Homepage: https://sites.google.com/site/munkfinance/
Postal Address:
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Affiliation

Copenhagen Business School
Location: København, Denmark
Homepage: http://www.cbs.dk/
Email:
Phone: +45 3815 3815
Fax:
Postal: Solbjerg Plads 3, 2000 Frederiksberg
Handle: RePEc:edi:cbschdk (more details at EDIRC)

Works

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Working papers

  1. Kraft, Holger & Munk, Claus & Seifried, Frank Thomas & Steffensen, Mogens, 2014. "Consumption and wage humps in a life-cycle model with education," SAFE Working Paper Series 53, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  2. Kraft, Holger & Munk, Claus & Seifried, Frank Thomas & Wagner, Sebastian, 2013. "Consumption habits and humps," SAFE Working Paper Series 15, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  3. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers, Copenhagen Business School, Department of Finance 2001-6, Copenhagen Business School, Department of Finance.
  4. Sørensen, Carsten & Munk, Claus, 2001. "Optimal Consumption and Investment Strategies with Stochastic Interest Rates ," Working Papers, Copenhagen Business School, Department of Finance 2000-9, Copenhagen Business School, Department of Finance.
  5. Claus Munk, 1998. "The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Finance, EconWPA 9802002, EconWPA.
  6. Claus Munk, 1997. "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance, EconWPA 9712003, EconWPA.
  7. Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance, EconWPA 9712006, EconWPA.
  8. Claus Munk, . "Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution," Computing in Economics and Finance 1997, Society for Computational Economics 134, Society for Computational Economics.

Articles

  1. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, INFORMS, vol. 59(2), pages 485-503, June.
  2. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1397-1411.
  3. Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013. "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(11), pages 2217-2240.
  4. Larsen, Linda Sandris & Munk, Claus, 2012. "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, Elsevier, Elsevier, vol. 36(2), pages 266-293.
  5. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, Elsevier, vol. 147(3), pages 1035-1063.
  6. Holger Kraft & Claus Munk, 2011. "Optimal Housing, Consumption, and Investment Decisions over the Life Cycle," Management Science, INFORMS, INFORMS, vol. 57(6), pages 1025-1041, June.
  7. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(3), pages 433-462, June.
  8. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3560-3589, November.
  9. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(12), pages 3720-3741, December.
  10. Munk, Claus & Sorensen, Carsten & Nygaard Vinther, Tina, 2004. "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, Elsevier, Elsevier, vol. 13(2), pages 141-166.
  11. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(8), pages 1987-2013, August.
  12. Damgaard, Anders & Fuglsbjerg, Brian & Munk, Claus, 2003. "Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(2), pages 209-253, November.
  13. Munk, Claus, 2002. "Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates," International Review of Economics & Finance, Elsevier, Elsevier, vol. 11(4), pages 335-347.
  14. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(9), pages 1315-1343, August.
  15. Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, Springer, vol. 3(2), pages 157-181, May.

Books

  1. Munk, Claus, 2011. "Fixed Income Modelling," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199575084, October.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-DGE: Dynamic General Equilibrium (2) 2014-01-17 2014-06-28. Author is listed
  2. NEP-EDU: Education (1) 2014-06-28. Author is listed
  3. NEP-FMK: Financial Markets (1) 1998-10-08. Author is listed
  4. NEP-LMA: Labor Markets - Supply, Demand, & Wages (1) 2014-06-28. Author is listed
  5. NEP-MIC: Microeconomics (1) 2014-01-17. Author is listed
  6. NEP-UPT: Utility Models & Prospect Theory (1) 2014-01-17. Author is listed

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