Claus Munk : Citation Profile

Copenhagen Business School

14

H index

16

i10 index

500

Citations

RESEARCH PRODUCTION:

27

Articles

10

Papers

3

Books

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 18
   Journals where Claus Munk has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 18 (3.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu286
   Updated: 2025-12-20    RAS profile: 2025-04-28    
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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)

Bagliano, Fabio (7)

Nicodano, Giovanna (7)

Pelsser, Antoon (6)

Meinerding, Christoph (6)

Moreno, Manuel (5)

Corradin, Stefano (5)

Wang, Haijun (4)

Semmler, Willi (4)

Castaneda, Pablo (4)

Fillat, Jose (4)

Cites to:

Campbell, John (75)

merton, robert (59)

Viceira, Luis (39)

Bodie, Zvi (21)

Duffie, Darrell (20)

Constantinides, George (17)

Browning, Martin (15)

Wachter, Jessica (15)

Shiller, Robert (13)

koijen, ralph (12)

French, Kenneth (12)

Main data

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)

YearTitle of citing document
2024A mean field game approach to equilibrium consumption under external habit formation. (2024). 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. (2024). Li, Xun ; Chen, Xiaoshan ; Yu, Xiang ; Yi, Fahuai. In: Papers. RePEc:arx:papers:2207.07848.

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

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2024Mean field equilibrium asset pricing model with habit formation. (2024). Sekine, Masashi ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2406.02155.

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2025Optimal consumption under loss-averse multiplicative habit-formation preferences. (2025). Yu, Xiang ; Yuan, Fengyi ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2406.20063.

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2025Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach. (2025). Sekine, Masashi. In: Papers. RePEc:arx:papers:2410.01352.

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2024Constrained portfolio optimization in a life-cycle model. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20060.

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2024Optimal life insurance and annuity decision under money illusion. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20128.

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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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2025Radner equilibrium with population growth. (2025). Weston, Kim ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2504.18009.

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2025Martingale Consumption. (2025). Nielsen, Peter Holm. In: Papers. RePEc:arx:papers:2505.20504.

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2025Can Limited Liability Increase Stability for Banks: A Dynamic Portfolio Approach. (2025). Chakrabarty, Siddhartha P ; Barik, Deb Narayan. In: Papers. RePEc:arx:papers:2507.16494.

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2025Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach. (2025). He, Wanting ; Li, Wenyuan ; Wei, Yunran. In: Papers. RePEc:arx:papers:2508.05241.

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

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2025Optimal Consumption and Portfolio Choices with Housing Dynamics. (2025). Banggang, WU ; Qianmin, Sun ; Xixian, Liu ; Xiaoyu, Deng. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:17:n:1001.

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2024Mean field equilibrium asset pricing model with habit formation (Forthcoming in Asia-Pacific Financial Markets). (2024). Sekine, Masashi ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf587.

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2025Kick the cat? Retail investors displaced aggression: Evidence from amazon product ratings. (2025). Wei, Siqi ; Zhao, Yanhui. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000395.

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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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2025Optimal investment-withdrawal strategy for variable annuities under a performance fee structure. (2025). Feng, Runhuan ; Hin, Kenneth Tsz ; Jing, Xiaochen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001957.

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2025Goal-oriented preferences for green bonds: A model of sustainable investment strategies. (2025). Uddin, Gazi Salah ; Nguyen, Thai ; Chen, Yusha. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s0264999325001233.

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2024Non-zero-sum investment-reinsurance game with delay and ambiguity aversion. (2024). He, Yong ; Luouyang, Xueqi ; Li, Sheng ; Chen, Haiyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000858.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Kallinterakis, Vasileios ; Kontosakos, Vasileios E ; Hwang, Soosung ; Pantelous, Athanasios A. 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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2024Dynamic consumption and portfolio choice considering information learning and stochastic interest rate. (2024). Liu, Yongjun ; Zhou, Minna. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005245.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Liang, Zongxia ; Ma, Xingjian ; 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). Chen, Shumin ; Yao, Haixiang ; Luo, Dan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000359.

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2025General equilibrium with unhedgeable fundamentals and heterogeneous agents. (2025). Weber, Marko Hans ; Guasoni, Paolo. In: Journal of Economic Theory. RePEc:eee:jetheo:v:224:y:2025:i:c:s0022053125000249.

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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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2025Mortgage innovation and house price booms. (2025). Bckman, Claes ; Lutz, Chandler. In: Journal of Urban Economics. RePEc:eee:juecon:v:145:y:2025:i:c:s0094119024000950.

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2024Life-cycle risk-taking with personal disaster risk. (2024). Nicodano, Giovanna ; Bagliano, Fabio ; Fugazza, Carolina. 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). Yao, Yuan ; Zhao, Yang ; Wang, Mingtao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:940-960.

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2025Chinese household finance impacted by climate change - Evidence from stock investment. (2025). Liu, Xiangyu ; Chen, Yanyun ; Tang, Xiaoping ; Yao, Ziyan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007226.

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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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2025Options 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.

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2024On Smoothing and Habit Formation of Variable Life Annuity Benefits. (2024). Vikkelsoe, Savannah Halling ; Steffensen, Mogens. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:75-:d:1338381.

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2024Optimal Investment for Defined-Contribution Pension Plans with the Return of Premium Clause under Partial Information. (2024). Liu, Zilan ; Wang, Yijun ; Huang, YA ; Zhang, Huanying. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:2130-:d:1430410.

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2024Optimal Investment Consumption Choices under Mispricing and Habit Formation. (2024). Sun, Jingyun ; Liu, Botao ; Shi, Ailing. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2248-:d:1438536.

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2025Limiting Loss Distribution of Default and Prepayment for Loan Portfolios and Its Application in RMBS. (2025). Yang, Jingping ; Duan, Qinhan ; Bu, Lan ; Zang, Xin ; Xia, Chenxi. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:8:p:153-:d:1725557.

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2024Aging, Housing, and Macroeconomic Inefficiency. (2024). Ogawa, Yasutaka ; Yoshida, Jiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:24-e-04.

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2025Do Traditional Family Values Affect Household Asset Allocation? — Empirical from China. (2025). Zhao, Lulu ; Ye, Jingjing. In: Journal of Family and Economic Issues. RePEc:kap:jfamec:v:46:y:2025:i:1:d:10.1007_s10834-024-10004-w.

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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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2024Monte carlo within simulated annealing for integral constrained optimizations. (2024). Casarin, Roberto ; Osuntuyi, Anthony ; Maillet, Bertrand B. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04994-9.

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2025Stock return forecasting based on the proxy variables of category factors. (2025). Zhao, Yuan ; Gong, Xue ; Zhang, Weiguo ; Xu, Weijun. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00779-8.

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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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2025Ethical leadership, managerial risk-based incentives, and accounting conservatism: a comparative evidence from Egypt and Saudi Arabia. (2025). Ali, Maysa. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00546-2.

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2025Income disaster model with optimal consumption. (2025). Park, Seyoung. In: Economic Theory. RePEc:spr:joecth:v:80:y:2025:i:1:d:10.1007_s00199-024-01629-x.

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2024Age-dependent robust strategic asset allocation with inflation–deflation hedging demand. (2024). Kusuda, Koji ; Kikuchi, Kentaro. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00369-9.

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2025Strategic capacity investment under demand ambiguity with creative destruction. (2025). Wu, Xiaoqin ; Hu, Zhijun. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:2:d:10.1007_s00186-025-00891-6.

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2024Mean Field Equilibrium Asset Pricing Model with Habit Formation. (2024). Sekine, Masashi ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2024cf1229.

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2024The Pay‐for‐Success Contract: A Valuation Note. (2024). Tsekrekos, Andrianos ; Andrikopoulos, Andreas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:9:p:1465-1473.

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Works by Claus Munk:

YearTitleTypeCited
2014Options in Compensation: Promises and Pitfalls In: Journal of Accounting Research.
[Full Text][Citation analysis]		article5
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]		article38
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]		article4
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]		article35
2001Optimal Consumption and Investment Strategies with Stochastic Interest Rates.(2001) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		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]		article49
2012Equilibrium in securities markets with heterogeneous investors and unspanned income risk In: Journal of Economic Theory.
[Full Text][Citation analysis]		article22
2010Dynamic asset allocation with stochastic income and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article70
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]		article39
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]		article43
2013Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies In: Management Science.
[Full Text][Citation analysis]		article23
2024How Do Interest-Only Mortgages Affect Consumption and Saving over the Life Cycle? In: Management Science.
[Full Text][Citation analysis]		article1
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]		book14
2011Fixed Income Modelling.(2011) In: OUP Catalogue.
[Citation analysis]
This paper has nother version. Agregated cites: 14		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
2022Solving life-cycle problems with biometric risk by artificial insurance markets In: Scandinavian Actuarial Journal.
[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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