Claus Munk : Citation Profile


Are you Claus Munk?

Copenhagen Business School

12

H index

14

i10 index

327

Citations

RESEARCH PRODUCTION:

22

Articles

10

Papers

3

Books

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 14
   Journals where Claus Munk has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 16 (4.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmu286
   Updated: 2021-11-28    RAS profile: 2020-07-18    
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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 (11)

Nicodano, Giovanna (5)

Corradin, Stefano (5)

Bagliano, Fabio (5)

Castaneda, Pablo (4)

Semmler, Willi (4)

Vergara-Alert, Carles (3)

Wang, Haijun (3)

Flor, Christian (3)

Fillat, Jose (3)

Pelsser, Antoon (3)

Cites to:

merton, robert (58)

Campbell, John (54)

Viceira, Luis (27)

Bodie, Zvi (21)

Duffie, Darrell (16)

Constantinides, George (16)

Wachter, Jessica (14)

Browning, Martin (14)

Shiller, Robert (13)

Abel, Andrew (10)

Sinai, Todd (10)

Main data


Where Claus Munk has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control6
Journal of Banking & Finance5
Management Science2
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

Recent works citing Claus Munk (2021 and 2020)


YearTitle of citing document
2020Optimal Asset Allocation for Commodity Sovereign Wealth Funds. (2020). Parra-Alvarez, Juan ; Ma, Lin ; Irarrazabal, Alfonso A. In: CREATES Research Papers. RePEc:aah:create:2020-10.

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2020Smart TWAP trading in continuous-time equilibria. (2018). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:1803.08336.

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2021Optimal Information Acquisition and Consumption Under Habit Formation Preference. (2019). Yu, Xiang ; Yang, Yue. In: Papers. RePEc:arx:papers:1903.04257.

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2020Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466.

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2020A note on the worst case approach for a market with a stochastic interest rate. (2020). Zawisza, Dariusz . In: Papers. RePEc:arx:papers:2001.01998.

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2021Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223.

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2021Radner equilibrium and systems of quadratic BSDEs with discontinuous generators. (2020). Xing, Hao ; Schwarz, Daniel C ; Escauriaza, Luis. In: Papers. RePEc:arx:papers:2008.03500.

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2021The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2020Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. (2020). Donnelly, Catherine ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.16009.

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2020Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102.

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2021Optimal Investment and Consumption under a Habit-Formation Constraint. (2021). Bayraktar, Erhan ; Young, Virginia R ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2102.03414.

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2021The Significance of Financial Competence and Risk Tolerance in Home-Related Expenditure by Jurisdiction and Regime. (2021). Gordon, Clark. In: Zeitschrift für Wirtschaftsgeographie. RePEc:bpj:zfwige:v:65:y:2021:i:1:p:12-27:n:1.

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2020Asset Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; VAN DERPLOEG, RICK ; Kraft, Holger ; Hambel, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8476.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020Bequest motive, information transparency, and family firm value: A natural experiment. (2020). Zhao, Yiyi ; Lyu, Changjiang ; Lee, Edward ; Huang, Haijie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301954.

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2021Robust consumption and portfolio choices with habit formation. (2021). Wang, Shibo ; Li, Tongtong ; Yang, Jinqiang. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:227-246.

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2021Model selection in utility-maximizing binary prediction. (2021). Su, Jiun-Hua. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:96-124.

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2020Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. (2020). Tan, Ken Seng ; Zhuang, Sheng Chao ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:345-362.

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2021Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657.

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2020The consumption response to household leverage in China: The role of investment at household level. (2020). Guo, Rui ; Zhang, Dongyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302246.

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2021Optimal risk taking under high-water mark contract with jump risk. (2021). Yan, Jingzhou ; Mu, Congming ; Liang, Zhian . In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303599.

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2021Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk. (2021). Chen, Zheng ; Huang, Jia. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319313728.

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2021Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. (2021). Kang, Yuxin ; Zhang, Ling ; Shen, Yang ; Wang, Pei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:384-407.

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2021The annuity puzzle and consumption hump under ambiguous life expectancy. (2021). Hung, Mao-Wei ; Han, Nan-Wei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:76-88.

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2020Health shock risk, critical illness insurance, and housing services. (2020). Hambel, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:111-128.

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2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims. (2020). Yang, Peng ; Chen, Zhiping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:27-46.

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2020Optimal retirement with borrowing constraints and forced unemployment risk. (2020). Zhao, Huainan ; Park, Seyoung ; Jang, Bong-Gyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:25-39.

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2021Robust optimal investment and reinsurance for an insurer with inside information. (2021). Wang, Wenyuan ; Chen, Fenge ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:15-30.

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2020Valuation of caps and swaptions under a stochastic string model. (2020). Navas, Javier ; Moreno, Manuel ; Bueno-Guerrero, Alberto. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305744.

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2020A study of the differences among representative investment strategies. (2020). Lee, Yung-Tsung ; Huang, Hong-Chih . In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:131-149.

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2021Price of climate risk hedging under uncertainty. (2021). Evi, Eljko ; Xu, Wei ; Rubtsov, Alexey. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:165:y:2021:i:c:s0040162520312567.

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2020Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes. (2020). Xu, Jing ; Li, YA ; Ali, Y ; Lei, Yaoting . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:823-843.

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2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level. (2020). Nijman, Theo E ; van Bilsen, Servaas. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3927-3955.

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2020A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. (2020). Pesce, Marialaura ; Yannelis, Nicholas C ; Castro, Luciano I. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00349-w.

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2021Model uncertainty on commodity portfolios, the role of convenience yield. (2021). Escobar-Anel, Marcos ; Chen, Junhe. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5.

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2021Robust Solutions to the Life-Cycle Consumption Problem. (2021). Fabozzi, Frank J ; Reus, Lorenzo. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09964-1.

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2020Optimal portfolio and spending rules for endowment funds. (2020). Kashif, Muhammad ; Owadally, Iqbal ; Menoncin, Francesco. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00856-x.

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2021Maintaining cost and ruin probability. (2021). Qin, Zhenjiang ; Ma, Xiaorong ; Lo, Chia Chun ; Karathanasopoulos, Andreas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:2:d:10.1007_s11156-021-00960-x.

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2020Asset Pricing and Decarbonization: Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; Kraft, Holger ; Hambel, Christoph ; VAN DERPLOEG, RICK . In: Economics Series Working Papers. RePEc:oxf:wpaper:901.

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2020.

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2020An incomplete equilibrium with a stochastic annuity. (2020). Weston, Kim ; Itkovi, Gordan. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00415-6.

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2020Consumption in incomplete markets. (2020). Guasoni, Paolo ; Wang, GU. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00420-9.

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2020Conditional Davis pricing. (2020). Itkovi, Gordan ; Soner, Halil Mete ; Larsen, Kasper. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00424-5.

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2021Optimism and profit-based incentives in cost stickiness: an experimental study. (2021). Soewarno, Noorlailie ; Krisnadewi, Komang Ayu. In: Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung. RePEc:spr:jmgtco:v:32:y:2021:i:1:d:10.1007_s00187-020-00309-w.

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2020Optimal consumption with time-inconsistent preferences. (2020). Yang, Jinqiang ; Wang, Yuanping ; Niu, Yingjie ; Liu, Liya. In: Economic Theory. RePEc:spr:joecth:v:70:y:2020:i:3:d:10.1007_s00199-019-01228-1.

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2020Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

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2021A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices. (2021). Weiss, Farina. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:93:y:2021:i:1:d:10.1007_s00186-020-00727-5.

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2020Household finance. (2020). Haliassos, Michael ; Gomes, Francisco J ; Ramadorai, Tarun. In: IMFS Working Paper Series. RePEc:zbw:imfswp:138.

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2020Belief formation and belief updating under ambiguity: Evidence from experiments. (2019). Wilde, Christian ; Li, Wenhui. In: SAFE Working Paper Series. RePEc:zbw:safewp:251.

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2020When should retirees tap their home equity?. (2020). Kraft, Holger ; Hambel, Christoph ; Meyer-Wehmann, Andre. In: SAFE Working Paper Series. RePEc:zbw:safewp:293.

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Works by Claus Munk:


YearTitleTypeCited
2014Options in Compensation: Promises and Pitfalls In: Journal of Accounting Research.
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article3
2019Hedging recessions In: Journal of Economic Dynamics and Control.
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article0
2000Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints In: Journal of Economic Dynamics and Control.
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article21
2003Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good In: Journal of Economic Dynamics and Control.
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article17
2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences In: Journal of Economic Dynamics and Control.
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article23
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.
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article22
2013Asset allocation over the life cycle: How much do taxes matter? In: Journal of Economic Dynamics and Control.
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article2
2019Predictors and portfolios over the life cycle In: Journal of Banking & Finance.
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article1
2020A mean-variance benchmark for household portfolios over the life cycle In: Journal of Banking & Finance.
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article0
2004Optimal consumption and investment strategies with stochastic interest rates In: Journal of Banking & Finance.
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article27
2001Optimal Consumption and Investment Strategies with Stochastic Interest Rates.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 27
paper
2007Bond durations: Corporates vs. Treasuries In: Journal of Banking & Finance.
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article5
2013Robust portfolio choice with ambiguity and learning about return predictability In: Journal of Banking & Finance.
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article25
2012Equilibrium in securities markets with heterogeneous investors and unspanned income risk In: Journal of Economic Theory.
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article14
2010Dynamic asset allocation with stochastic income and interest rates In: Journal of Financial Economics.
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article46
2002Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates In: International Review of Economics & Finance.
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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.
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article33
2001Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior? In: Working Papers.
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paper1
2011Optimal Housing, Consumption, and Investment Decisions over the Life Cycle In: Management Science.
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article28
2013Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies In: Management Science.
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article11
2014Portfolio management with stochastic interest rates and inflation ambiguity In: Annals of Finance.
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article12
1999Stochastic duration and fast coupon bond option pricing in multi-factor models In: Review of Derivatives Research.
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article13
1999The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices In: Review of Finance.
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article3
2015Fixed Income Modelling In: OUP Catalogue.
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book12
2011Fixed Income Modelling.(2011) In: OUP Catalogue.
[Citation analysis]
This paper has another version. Agregated cites: 12
book
2015Financial Asset Pricing Theory In: OUP Catalogue.
[Citation analysis]
book3
Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution In: Computing in Economics and Finance 1997.
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paper0
2017Consumption habits and humps In: Economic Theory.
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article3
2013Consumption habits and humps.(2013) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 3
paper
1997Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints In: Finance.
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paper0
1997No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio In: Finance.
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paper0
1998The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Mertons Problem In: Finance.
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paper2
2017Predictors and portfolios over the life cycle: Skill vs. luck In: SAFE Working Paper Series.
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paper0
2014Consumption and wage humps in a life-cycle model with education In: SAFE Working Paper Series.
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paper0
2015Housing habits and their implications for life-cycle consumption and investment In: SAFE Working Paper Series.
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paper0

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