Claus Munk
Claus Munk
Verified email at cbs.dk
TitleCited byYear
Dynamic asset allocation with stochastic income and interest rates
C Munk, C Sørensen
Journal of Financial economics 96 (3), 433-462, 2010
192*2010
Optimal consumption and investment strategies with stochastic interest rates
C Munk, C Sørensen
Journal of Banking & Finance 28 (8), 1987-2013, 2004
1442004
Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: are popular recommendations consistent with rational behavior?
C Munk, C Sørensen, TN Vinther
International Review of Economics & Finance 13 (2), 141-166, 2004
1422004
Stochastic duration and fast coupon bond option pricing in multi-factor models
C Munk
Review of Derivatives Research 3 (2), 157-181, 1999
931999
Optimal housing, consumption, and investment decisions over the life cycle
H Kraft, C Munk
Management Science 57 (6), 1025-1041, 2011
842011
Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
C Munk
Journal of Economic Dynamics and Control 24 (9), 1315-1343, 2000
792000
Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
C Munk
Journal of Economic Dynamics and Control 32 (11), 3560-3589, 2008
762008
Financial asset pricing theory
C Munk
OUP Oxford, 2013
67*2013
Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
A Damgaard, B Fuglsbjerg, C Munk
Journal of Economic Dynamics and Control 28 (2), 209-253, 2003
602003
Fixed income modelling
C Munk
Oxford University Press, 2011
462011
Robust portfolio choice with ambiguity and learning about return predictability
N Branger, LS Larsen, C Munk
Journal of Banking & Finance 37 (5), 1397-1411, 2013
422013
The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts
LS Larsen, C Munk
Journal of Economic Dynamics and Control 36 (2), 266-293, 2012
392012
Equilibrium in securities markets with heterogeneous investors and unspanned income risk
PO Christensen, K Larsen, C Munk
Journal of Economic Theory 147 (3), 1035-1063, 2012
302012
Solving constrained consumption–investment problems by simulation of artificial market strategies
B Bick, H Kraft, C Munk
Management Science 59 (2), 485-503, 2013
272013
Portfolio management with stochastic interest rates and inflation ambiguity
C Munk, A Rubtsov
Annals of Finance 10 (3), 419-455, 2014
252014
Options in compensation: promises and pitfalls
CR Flor, H Frimor, C Munk
Journal of Accounting Research 52 (3), 703-732, 2014
212014
Optimal real consumption and investment strategies in dynamic stochastic economies
C Munk, C Sørensen
Stochastic Economic Dynamics, 271-316, 2007
202007
The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton’s problem
C Munk
Applied Mathematics and Computation 136 (1), 47-77, 2003
202003
Fixed income analysis: Securities, pricing and risk management
C Munk
Lecture notes, University of Southern Denmark, 2005
172005
The valuation of contingent claims under portfolio constraints: reservation buying and selling prices
C Munk
Review of Finance 3 (3), 347-388, 1999
171999
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Articles 1–20