Claus Munk : Citation Profile

Are you Claus Munk?

Copenhagen Business School

13

H index

15

i10 index

459

Citations

RESEARCH PRODUCTION:

25

Articles

10

Papers

3

Books

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 18
   Journals where Claus Munk has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 18 (3.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmu286
   Updated: 2024-12-03    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)

Bagliano, Fabio (7)

Nicodano, Giovanna (7)

Meinerding, Christoph (6)

Pelsser, Antoon (5)

Moreno, Manuel (5)

Corradin, Stefano (5)

Fillat, Jose (4)

Wang, Haijun (4)

Semmler, Willi (4)

Castaneda, Pablo (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
International Review of Economics & Finance2
Review of 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 (2024 and 2023)

YearTitle of citing document
2023Risk 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.

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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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2023A greedy algorithm for habit formation under multiplicative utility. (2023). Salisbury, Thomas S ; Kirusheva, Snezhana. In: Papers. RePEc:arx:papers:2305.04748.

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2023Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343.

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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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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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2023A 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.

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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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2023Robust 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.

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2023Robust 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.

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2023Pandemic 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.

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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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2023Robust 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.

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2023Portfolio 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.

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2023Robust 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.

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2023Optimal 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.

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2023Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (2023). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:251-273.

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2023Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95.

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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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2023Do 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.

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2023When 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.

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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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2023Mortgage 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.

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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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2023Options 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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2023.

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2023Multi-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.

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2023Stated 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.

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2023Sentimental 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.

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2023Pricing 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.

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2023Consumption 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.

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2023Robust 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.

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2023Optimal 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.

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2023Longevity, Health and Housing Risks Management in Retirement. (2023). st Amour, Pascal ; Michaud, Pierre-Carl. In: NBER Working Papers. RePEc:nbr:nberwo:31038.

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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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2023Dynamic 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.

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2023Asset 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.

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2023Robust 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.

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2023When should retirees tap their home equity?. (2023). Meyer-Wehmann, Andre ; Kraft, Holger ; Hambel, Christoph. In: Other publications TiSEM. RePEc:tiu:tiutis:e3ca270a-8fec-4000-a3ab-c9c85a7726f7.

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2023Dynamic 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.

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2023Asset allocation with recursive parameter updating and macroeconomic regime identifiers. (2023). Meinerding, Christoph ; Goodarzi, Milad. In: Discussion Papers. RePEc:zbw:bubdps:062023.

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Works by Claus Munk:

YearTitleTypeCited
2014Options in Compensation: Promises and Pitfalls In: Journal of Accounting Research.
[Full Text][Citation analysis]		article4
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]		article25
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]		article17
2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article34
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]		article44
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]		article61
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]		article41
2013Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies In: Management Science.
[Full Text][Citation analysis]		article20
2014Portfolio management with stochastic interest rates and inflation ambiguity In: Annals of Finance.
[Full Text][Citation analysis]		article18
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]		article2
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: 2		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]		article8
2013Consumption habits and humps.(2013) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
In: .
[Full Text][Citation analysis]		article1
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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