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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:
Phone:
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)
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  1. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers 2001-6, Copenhagen Business School, Department of Finance.
  2. Sørensen, Carsten & Munk, Claus, 2001. "Optimal Consumption and Investment Strategies with Stochastic Interest Rates ," Working Papers 2000-9, Copenhagen Business School, Department of Finance.
  3. Claus Munk, 1998. "The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Finance 9802002, EconWPA.
  4. Claus Munk, 1997. "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance 9712003, EconWPA.
  5. Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance 9712006, EconWPA.
    RePEc:zbw:safewp:53 is not listed on IDEAS
    RePEc:zbw:safewp:85 is not listed on IDEAS
    RePEc:zbw:safewp:15 is not listed on IDEAS
  6. Claus Munk, . "Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution," Computing in Economics and Finance 1997 134, Society for Computational Economics.
  1. Claus Munk & Alexey Rubtsov, 2014. "Portfolio management with stochastic interest rates and inflation ambiguity," Annals of Finance, Springer, vol. 10(3), pages 419-455, August.
  2. Christian Riis Flor & Hans Frimor & Claus Munk, 2014. "Options in Compensation: Promises and Pitfalls," Journal of Accounting Research, Wiley Blackwell, vol. 52(3), pages 703-732, 06.
  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, vol. 37(11), pages 2217-2240.
  4. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  5. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
  6. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
  7. 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, vol. 36(2), pages 266-293.
  8. Holger Kraft & Claus Munk, 2011. "Optimal Housing, Consumption, and Investment Decisions over the Life Cycle," Management Science, INFORMS, vol. 57(6), pages 1025-1041, June.
  9. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  10. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
  11. Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
  12. 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, vol. 13(2), pages 141-166.
  13. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1987-2013, August.
  14. 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, vol. 28(2), pages 209-253, November.
  15. Munk, Claus, 2002. "Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 335-347.
  16. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
  17. Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, vol. 3(2), pages 157-181, May.
  1. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457, March.
  2. Munk, Claus, 2011. "Fixed Income Modelling," OUP Catalogue, Oxford University Press, number 9780199575084, March.
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 (3) 2014-01-17 2014-06-28 2015-03-05. 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-MAC: Macroeconomics (1) 2015-03-05. Author is listed
  6. NEP-MFD: Microfinance (1) 2015-03-05. Author is listed
  7. NEP-MIC: Microeconomics (1) 2014-01-17. Author is listed
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2014-01-17. Author is listed
  9. NEP-URE: Urban & Real Estate Economics (1) 2015-03-05. Author is listed
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