Citation profile for Claus Munk

Claus Munk : Citation Profile

Copenhagen Business School

H index

i10 index

430

Citations

RESEARCH PRODUCTION:

Articles

Papers

Books

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 17
   Journals where Claus Munk has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 17 (3.8 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu286
   Updated: 2024-04-18    RAS profile: 2022-06-24
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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)

Meinerding, Christoph (6)

Bagliano, Fabio (5)

Moreno, Manuel (5)

Pelsser, Antoon (5)

Nicodano, Giovanna (5)

Corradin, Stefano (5)

Castaneda, Pablo (4)

Wang, Haijun (4)

Fillat, Jose (4)

Semmler, Willi (4)

Cites to:

Campbell, John (81)

merton, robert (63)

Viceira, Luis (39)

Bodie, Zvi (23)

Duffie, Darrell (20)

Constantinides, George (16)

Browning, Martin (15)

Wachter, Jessica (15)

Shiller, Robert (13)

Cochrane, John (12)

koijen, ralph (12)

Main data

Where Claus Munk has published?

Journals with more than one article published	# docs
Journal of Economic Dynamics and Control	6
Journal of Banking & Finance	6
International Review of Economics & Finance	2

Working Papers Series with more than one paper published	# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE	4
Finance / University Library of Munich, Germany	3
Working Papers / Copenhagen Business School, Department of Finance	2

Recent works citing Claus Munk (2024 and 2023)

Year	Title of citing document
2023	Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053. Full description at Econpapers \|\| Download paper
2024	A 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. Full description at Econpapers \|\| Download paper
2023	A greedy algorithm for habit formation under multiplicative utility. (2023). Salisbury, Thomas S ; Kirusheva, Snezhana. In: Papers. RePEc:arx:papers:2305.04748. Full description at Econpapers \|\| Download paper
2023	Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343. Full description at Econpapers \|\| Download paper
2024	Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns. (2023). Preisel, Michael. In: Papers. RePEc:arx:papers:2309.07488. Full description at Econpapers \|\| Download paper
2023	A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in Insurance: Mathematics and Economics). (2023). Saito, Taiga ; Kizaki, Keisuke ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf576. Full description at Econpapers \|\| Download paper
2023	Robust investment and hedging policy with limited commitment. (2023). Liang, Yongtang ; Wu, Yaoyao ; Ma, Jinrun. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001566. Full description at Econpapers \|\| Download paper
2023	Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers \|\| Download paper
2023	Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462. Full description at Econpapers \|\| Download paper
2024	Long-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. Full description at Econpapers \|\| Download paper
2023	Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636. Full description at Econpapers \|\| Download paper
2023	Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83. Full description at Econpapers \|\| Download paper
2023	Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30. Full description at Econpapers \|\| Download paper
2023	Optimal retirement savings over the life cycle: A deterministic analysis in closed form. (2023). Koch, Marlene ; Jensen, Bjarne Astrup ; Fischer, Marcel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:48-58. Full description at Econpapers \|\| Download paper
2023	Do required minimum distribution 401(k) rules matter, and for whom? Insights from a lifecycle model. (2023). Mitchell, Olivia ; Maurer, Raimond ; Horneff, Vanya. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001462. Full description at Econpapers \|\| Download paper
2023	When should retirees tap their home equity?. (2023). Meyer-Wehmann, Andre ; Kraft, Holger ; Hambel, Christoph. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001656. Full description at Econpapers \|\| Download paper
2023	Mortgage loan and housing market. (2023). Liu, LU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:736-749. Full description at Econpapers \|\| Download paper
2023	Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model. (2023). Makimoto, Naoki ; Shimai, Yoshiyuki. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:4:d:10.1007_s10690-023-09401-2. Full description at Econpapers \|\| Download paper
2023	Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models. (2023). Soest, Arthur ; Nijman, Theo ; Dees, Bart. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:3:d:10.1007_s10645-023-09424-0. Full description at Econpapers \|\| Download paper
2023	Sentimental Shocks and House Prices. (2023). Kapopoulos, Panayotis ; Anastasiou, Dimitris ; Zekente, Kalliopi-Maria. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:4:d:10.1007_s11146-021-09871-z. Full description at Econpapers \|\| Download paper
2023	Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4. Full description at Econpapers \|\| Download paper
2023	Consumption with earnings, liquidity, and market based models. (2023). Wroblewski, David ; Snigaroff, Robert. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01103-6. Full description at Econpapers \|\| Download paper
2023	Robust risk choice under high-water mark contract. (2023). Yang, Jinqiang ; Mu, Congming. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01152-5. Full description at Econpapers \|\| Download paper
2023	Optimal investment for defined-contribution pension plans under money illusion. (2023). Yang, Charles ; Wei, Pengyu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01169-w. Full description at Econpapers \|\| Download paper
2023	Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets. (2023). Yan, Jingzhou ; Xia, Xiaobao ; Pang, Tao ; Lv, Wujun. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00472-8. Full description at Econpapers \|\| Download paper
2023	Asset pricing with dynamically inconsistent agents. (2023). Khapko, Mariana. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00516-y. Full description at Econpapers \|\| Download paper
2023	Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models. (2023). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10007-4. Full description at Econpapers \|\| Download paper
2023	Dynamic asset allocation with multiple regime?switching markets. (2023). Shi, Jianmin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1741-1755. Full description at Econpapers \|\| Download paper
2023	Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023. Full description at Econpapers \|\| Download paper

Works by Claus Munk:

Year	Title	Type	Cited
2014	Options in Compensation: Promises and Pitfalls In: Journal of Accounting Research. [Full Text][Citation analysis]	article	4
2019	Hedging recessions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis]	article	0
2000	Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis]	article	25
2003	Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis]	article	17
2008	Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis]	article	32
2012	The 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]	article	28
2013	Asset allocation over the life cycle: How much do taxes matter? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis]	article	2
2019	Predictors and portfolios over the life cycle In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	2
2020	A mean-variance benchmark for household portfolios over the life cycle In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	3
2022	Bequest motives in consumption-portfolio decisions with recursive utility In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	7
2004	Optimal consumption and investment strategies with stochastic interest rates In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	32
2001	Optimal Consumption and Investment Strategies with Stochastic Interest Rates.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32	paper
2007	Bond durations: Corporates vs. Treasuries In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	5
2013	Robust portfolio choice with ambiguity and learning about return predictability In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	38
2012	Equilibrium in securities markets with heterogeneous investors and unspanned income risk In: Journal of Economic Theory. [Full Text][Citation analysis]	article	17
2010	Dynamic asset allocation with stochastic income and interest rates In: Journal of Financial Economics. [Full Text][Citation analysis]	article	60
2002	Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates In: International Review of Economics & Finance. [Full Text][Citation analysis]	article	0
2004	Dynamic 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]	article	37
2001	Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior? In: Working Papers. [Full Text][Citation analysis]	paper	1
2011	Optimal Housing, Consumption, and Investment Decisions over the Life Cycle In: Management Science. [Full Text][Citation analysis]	article	38
2013	Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies In: Management Science. [Full Text][Citation analysis]	article	18
2014	Portfolio management with stochastic interest rates and inflation ambiguity In: Annals of Finance. [Full Text][Citation analysis]	article	17
1999	Stochastic duration and fast coupon bond option pricing in multi-factor models In: Review of Derivatives Research. [Full Text][Citation analysis]	article	16
1999	The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices In: Review of Finance. [Full Text][Citation analysis]	article	4
2015	Fixed Income Modelling In: OUP Catalogue. [Citation analysis]	book	13
2011	Fixed Income Modelling.(2011) In: OUP Catalogue. [Citation analysis] This paper has nother version. Agregated cites: 13	book
2015	Financial Asset Pricing Theory In: OUP Catalogue. [Citation analysis]	book	4
	Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution In: Computing in Economics and Finance 1997. [Full Text][Citation analysis]	paper	0
2017	Consumption habits and humps In: Economic Theory. [Full Text][Citation analysis]	article	8
2013	Consumption habits and humps.(2013) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	paper
1997	Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints In: Finance. [Full Text][Citation analysis]	paper	0
1997	No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio In: Finance. [Full Text][Citation analysis]	paper	0
1998	The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Mertons Problem In: Finance. [Full Text][Citation analysis]	paper	2
2017	Predictors and portfolios over the life cycle: Skill vs. luck In: SAFE Working Paper Series. [Full Text][Citation analysis]	paper	0
2014	Consumption and wage humps in a life-cycle model with education In: SAFE Working Paper Series. [Full Text][Citation analysis]	paper	0
2015	Housing habits and their implications for life-cycle consumption and investment In: SAFE Working Paper Series. [Full Text][Citation analysis]	paper	0