Claus Munk : Citation Profile

Copenhagen Business School

13

H index

16

i10 index

476

Citations

RESEARCH PRODUCTION:

26

Articles

10

Papers

3

Books

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 18
   Journals where Claus Munk has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 18 (3.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu286
   Updated: 2025-04-12    RAS profile: 2024-11-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Claus Munk.

Is cited by:

Escobar Anel, Marcos (15)

Nicodano, Giovanna (7)

Bagliano, Fabio (7)

Meinerding, Christoph (6)

Corradin, Stefano (5)

Moreno, Manuel (5)

Pelsser, Antoon (5)

Fillat, Jose (4)

Semmler, Willi (4)

Wang, Haijun (4)

Castaneda, Pablo (4)

Cites to:

Campbell, John (75)

merton, robert (59)

Viceira, Luis (39)

Bodie, Zvi (21)

Duffie, Darrell (20)

Constantinides, George (17)

Wachter, Jessica (15)

Browning, Martin (15)

Shiller, Robert (13)

Cochrane, John (12)

French, Kenneth (12)

Main data

Production by document typepaperbookarticle199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202302040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250204060Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220230255075Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 13Most cited documents1234567891011121314150255075Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Claus Munk has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control6
Journal of Banking & Finance6
Review of Finance2
International Review of Economics & Finance2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE4
Finance / University Library of Munich, Germany3
Working Papers / Copenhagen Business School, Department of Finance2

Recent works citing Claus Munk (2025 and 2024)

Year  ↓Title of citing document  ↓
2024A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2024Optimal consumption under a drawdown constraint over a finite horizon. (2022). Yu, Xiang ; Yi, Fahuai ; Li, Xun ; Chen, Xiaoshan. In: Papers. RePEc:arx:papers:2207.07848.

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2024Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns. (2023). Preisel, Michael. In: Papers. RePEc:arx:papers:2309.07488.

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2024Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2024). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2412.09157.

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2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678.

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2025Framework for asset-liability management with fixed-term securities. (2025). Havrylenko, Yevhen. In: Papers. RePEc:arx:papers:2502.19213.

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2024Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. (2024). Stanza, Lorenzo ; Riedel, Frank ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:685.

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2025.

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2024The integral of the squared Gaussian process. (2024). Reus, Lorenzo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:179:y:2024:i:c:s096007792301319x.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

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2024Investment–consumption optimization with transaction cost and learning about return predictability. (2024). Siu, Tak Kuen ; Wang, Ning. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891.

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2024Solving constrained consumption–investment problems by decomposition algorithms. (2024). Homem-De, Tito ; Castaeda, Pablo ; Garcia, Javier ; Lagos, Guido ; Pagnoncelli, Bernardo K. In: European Journal of Operational Research. RePEc:eee:ejores:v:319:y:2024:i:1:p:292-302.

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2024Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity. (2024). Chen, Zhiping ; Wang, Tao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:195-222.

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2024Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479.

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2024Optimal investor life cycle decisions with time-inconsistent preferences. (2024). Yao, Haixiang ; Luo, Dan ; Chen, Shumin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000359.

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2024Valuing life over the life cycle. (2024). St-Amour, Pascal. In: Journal of Health Economics. RePEc:eee:jhecon:v:93:y:2024:i:c:s0167629623001194.

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2024Life-cycle risk-taking with personal disaster risk. (2024). Bagliano, Fabio ; Fugazza, Carolina ; Nicodano, Giovanna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:378-396.

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2024Risk-free rate puzzle: An explanation of the heterogeneity of consumer risk attitudes under Chinas income gap. (2024). Wang, Mingtao ; Yao, Yuan ; Zhao, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:940-960.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001674.

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2025Financial Crisis and Within-City Heterogeneity in Land Prices: The Role of REIT Penetration. (2025). Xu, Hangtian ; Xiao, Yuxiong ; Zhou, Yiming ; Kikuchi, Yoshiyuki ; Li, Meng. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:1:d:10.1007_s11146-023-09966-9.

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2024Robust Bellman State Prediction with Learning and Model Preferences. (2024). Estey, Clayton. In: OSF Preprints. RePEc:osf:osfxxx:75fc9.

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2024Robust Bellman State Prediction with Learning and Model Preferences. (2024). Estey, Clayton. In: OSF Preprints. RePEc:osf:osfxxx:75fc9_v1.

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2024Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting. (2024). Siu, Tak Kuen ; Wang, Yike ; Liu, Jingzhen. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00510-4.

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2024.

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Works by Claus Munk:

Year  ↓Title  ↓Type  ↓Cited  ↓
2014Options in Compensation: Promises and Pitfalls In: Journal of Accounting Research.
[Full Text][Citation analysis]		article4
2023The Design and Welfare Implications of Mandatory Pension Plans In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
2019Hedging recessions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2000Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article26
2003Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article36
2012The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
2013Asset allocation over the life cycle: How much do taxes matter? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2019Predictors and portfolios over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2020A mean-variance benchmark for household portfolios over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2022Bequest motives in consumption-portfolio decisions with recursive utility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2004Optimal consumption and investment strategies with stochastic interest rates In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article33
2001Optimal Consumption and Investment Strategies with Stochastic Interest Rates.(2001) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2007Bond durations: Corporates vs. Treasuries In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2013Robust portfolio choice with ambiguity and learning about return predictability In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article48
2012Equilibrium in securities markets with heterogeneous investors and unspanned income risk In: Journal of Economic Theory.
[Full Text][Citation analysis]		article18
2010Dynamic asset allocation with stochastic income and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
2002Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
2004Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior? In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article38
2001Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior? In: Working Papers.
[Full Text][Citation analysis]		paper1
2011Optimal Housing, Consumption, and Investment Decisions over the Life Cycle In: Management Science.
[Full Text][Citation analysis]		article42
2013Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies In: Management Science.
[Full Text][Citation analysis]		article21
2014Portfolio management with stochastic interest rates and inflation ambiguity In: Annals of Finance.
[Full Text][Citation analysis]		article19
1999Stochastic duration and fast coupon bond option pricing in multi-factor models In: Review of Derivatives Research.
[Full Text][Citation analysis]		article16
2018Housing Habits and Their Implications for Life-Cycle Consumption and Investment* In: Review of Finance.
[Full Text][Citation analysis]		article3
2015Housing habits and their implications for life-cycle consumption and investment.(2015) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1999The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices In: Review of Finance.
[Full Text][Citation analysis]		article5
2015Fixed Income Modelling In: OUP Catalogue.
[Citation analysis]		book13
2011Fixed Income Modelling.(2011) In: OUP Catalogue.
[Citation analysis]
This paper has nother version. Agregated cites: 13		book
2015Financial Asset Pricing Theory In: OUP Catalogue.
[Citation analysis]		book8
Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper0
2017Consumption habits and humps In: Economic Theory.
[Full Text][Citation analysis]		article10
2013Consumption habits and humps.(2013) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
In: .
[Full Text][Citation analysis]		article2
1997Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints In: Finance.
[Full Text][Citation analysis]		paper0
1997No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio In: Finance.
[Full Text][Citation analysis]		paper0
1998The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Mertons Problem In: Finance.
[Full Text][Citation analysis]		paper2
2017Predictors and portfolios over the life cycle: Skill vs. luck In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Consumption and wage humps in a life-cycle model with education In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

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