cmfi
Department of Finance
Claus
Munk
Professor
,
Ph.D
Room:
SOL/A5.13
Tel:
+4538152265
E-mail:
cm.fi@cbs.dk
179893
Presentation
Most of my recent research focuses on developing models for the investment and consumption decisions of individuals and households of the life cycle. These models are extending traditional models by taking into account the housing decisions and the labor income flow of the households in order to establish a more realistic framework for understanding real-life household decisions and for improving the professional investment advice to households. Various aspects of these models still need to be explored and I am involved in several research projects doing so. My other research interests are in general asset pricing theory, the pricing of fixed-income securities, numerical methods in finance, and management compensation.
Primary research areas
- Investment and consumption decisions of individuals and households
- Asset allocation
- Asset pricing theory
Links
Link to this homepage
www.cbs.dk/en/staff/cmfi
Courses
- Investments (MSc FIN)
- Financial Market Theory (MSc FSM)
Other teaching activities
Theoretical Asset Pricing (Graduate School of Finance, Finland)
Selected publications
- Munk, C. (2013). Financial Asset Pricing Theory. Oxford University Press.
- Bick, B., Kraft, H., & Munk, C. (2013). Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies. Management Science, 37(5), 1397-1411.
- Christensen, P.O., Larsen, K., & Munk, C. (2012). Equilibrium in Securities Markets with Heterogeneous Agents and Unspanned Income Risk. Journal of Economic Theory, 147(3), 1035-1063.
- Kraft, H., & Munk, C. (2011). Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle. Management Science, 57(6), 1025-1041.
- Munk, C. (2011). Fixed Income Modelling. Oxford University Press.
- Munk, C., & Sørensen, C. (2010). Dynamic Asset Allocation with Stochastic Income and Interest Rates. Journal of Financial Economics, 96(3), 433-462.
Publications sorted by:
2024
Linda Sandris Larsen; Claus Munk; Rikke Sejer Nielsen; Jesper Rangvid / How Do Interest-only Mortgages Affect Consumption and Saving over the Life Cycle?
In: Management Science, Vol. 70, No. 3, 3.2024, p. 1970-1991
In: Management Science, Vol. 70, No. 3, 3.2024, p. 1970-1991
Journal article > peer review
2023
Linda Sandris Larsen; Claus Munk / The Design and Welfare Implications of Mandatory Pension Plans
In: Journal of Financial and Quantitative Analysis, Vol. 58, No. 8, 12.2023, p. 3420-3449
In: Journal of Financial and Quantitative Analysis, Vol. 58, No. 8, 12.2023, p. 3420-3449
Journal article > peer review
2022
Holger Kraft; Claus Munk; Farina Weiss / Bequest Motives in Consumption-portfolio Decisions with Recursive Utility
In: Journal of Banking & Finance, Vol. 138, 5.2022
In: Journal of Banking & Finance, Vol. 138, 5.2022
Journal article > peer review
Søren Fiig Jarner; Claus Munk; Mogens Steffensen / Pension Product Design and Relations to the Danish Market
In: The Danish Pension System: Design, Performance, and Challenges. . ed. /Torben M. Andersen; Svend E. Hougaard Jensen; Jesper Rangvid. Oxford : Oxford University Press 2022, p. 78-117
In: The Danish Pension System: Design, Performance, and Challenges. . ed. /Torben M. Andersen; Svend E. Hougaard Jensen; Jesper Rangvid. Oxford : Oxford University Press 2022, p. 78-117
Book chapter > peer review
Christoph Hambel; Holger Kraft; Claus Munk / Solving Life-cycle Problems with Biometric Risk by Artificial Insurance Markets
In: Scandinavian Actuarial Journal, No. 4, 5.2022, p. 307-327
In: Scandinavian Actuarial Journal, No. 4, 5.2022, p. 307-327
Journal article > peer review
2020
Claus Munk / A Mean-variance Benchmark for Household Portfolios over the Life Cycle
In: Journal of Banking & Finance, Vol. 116, 7.2020
In: Journal of Banking & Finance, Vol. 116, 7.2020
Journal article > peer review
2019
Nicole Branger; Linda Sandris Larsen; Claus Munk / Hedging Recessions
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
Paper presented at Midwest Finance Association 2019 Annual Meeting , 2019
Paper > peer review
Nicole Branger; Linda Sandris Larsen; Claus Munk / Hedging Recessions
In: Journal of Economic Dynamics and Control, Vol. 107, 10.2019
In: Journal of Economic Dynamics and Control, Vol. 107, 10.2019
Journal article > peer review
Holger Kraft; Claus Munk; Farina Weiss / Predictors and Portfolios Over the Life Cycle
In: Journal of Banking & Finance, Vol. 100, 3.2019, p. 1-27
In: Journal of Banking & Finance, Vol. 100, 3.2019, p. 1-27
Journal article > peer review
2018
Nicole Branger; Linda Sandris Larsen; Claus Munk / Hedging Recessions
Paper presented at 25th Annual Meeting of the German Finance Association. DGF 2018, 2018
Paper presented at 25th Annual Meeting of the German Finance Association. DGF 2018, 2018
Paper > peer review
2018
Holger Kraft; Claus Munk; Sebastian Wagner / Housing Habits and Their Implications for Life-cycle Consumption and Investment
In: Review of Finance, Vol. 22, No. 5, 8.2018, p. 1737-1762
In: Review of Finance, Vol. 22, No. 5, 8.2018, p. 1737-1762
Journal article > peer review
Claus Munk; Jesper Rangvid / Nye samfundsforudsætninger : Baggrund, niveau og konsekvenser for pensionsprognoser.
In: Finans/Invest, No. 6, 12.2018, p. 6-14
In: Finans/Invest, No. 6, 12.2018, p. 6-14
Journal article > peer review
2017
Holger Kraft; Claus Munk; Frank Thomas Seifried; Sebastian Wagner / Consumption Habits and Humps
In: Economic Theory, Vol. 64, No. 2, 8.2017, p. 305–330
In: Economic Theory, Vol. 64, No. 2, 8.2017, p. 305–330
Journal article > peer review
2016
Holger Kraft; Claus Munk; Farina Weiss / Predictors and Portfolios Over the Life Cycle
Tilburg : Netspar 2016, 59 p. (Netspar Discussion Paper, No. 01/2016-010) (SAFE Working Paper, No. 139)
Tilburg : Netspar 2016, 59 p. (Netspar Discussion Paper, No. 01/2016-010) (SAFE Working Paper, No. 139)
Working paper
2015
Holger Kraft; Claus Munk; Sebastian Wagner / Housing Habits and Their Implications for Life-Cycle Consumption and Investment
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2015, 60 p. (SAFE Working Paper, No. 85)
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2015, 60 p. (SAFE Working Paper, No. 85)
Working paper
2014
Holger Kraft; Claus Munk; Frank Thomas Seifried; Mogens Steffensen / Consumption and Wage Humps in a Life-cycle Model with Education
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2014, 46 p. (SAFE Working Paper, No. 53)
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2014, 46 p. (SAFE Working Paper, No. 53)
Working paper
Christian Riis Flor; Hans Frimor; Claus Munk / Options in Compensation : Promises and Pitfalls.
In: Journal of Accounting Research, Vol. 52, No. 3, 2014, p. 703-732
In: Journal of Accounting Research, Vol. 52, No. 3, 2014, p. 703-732
Journal article > peer review
Claus Munk; Alexey Vladimirovich Rubtsov / Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
In: Annals of Finance, Vol. 10, No. 3, 2014, p. 419-455
In: Annals of Finance, Vol. 10, No. 3, 2014, p. 419-455
Journal article > peer review
2013
Marcel Fischer; Holger Kraft; Claus Munk / Asset Allocation Over the Life Cycle : How Much do Taxes Matter? .
In: Journal of Economic Dynamics and Control, Vol. 37, No. 11, 11.2013, p. 2217-2240
In: Journal of Economic Dynamics and Control, Vol. 37, No. 11, 11.2013, p. 2217-2240
Journal article > peer review
Holger Kraft; Claus Munk; Frank Thomas Seifried; Sebastian Wagner / Consumption Habits and Humps
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2013, 33 p. (SAFE Working Paper, No. 15)
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2013, 33 p. (SAFE Working Paper, No. 15)
Working paper
2013
Claus Munk / Financial Asset Pricing Theory
Oxford : Oxford University Press 2013, 600 p.
Oxford : Oxford University Press 2013, 600 p.
Book > peer review
Nicole Branger; Linda Sandris Larsen; Claus Munk / Robust Portfolio Choice with Ambiguity and Learning About Return Predictability
In: Journal of Banking & Finance, Vol. 37, No. 5, 5.2013, p. 1397-1411
In: Journal of Banking & Finance, Vol. 37, No. 5, 5.2013, p. 1397-1411
Journal article > peer review
Björn Bick; Holger Kraft; Claus Munk / Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies
In: Management Science, Vol. 59, No. 2, 2013, p. 485-503
In: Management Science, Vol. 59, No. 2, 2013, p. 485-503
Journal article > peer review
2012
Peter Ove Christensen; Kasper Larsen; Claus Munk / Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk
In: Journal of Economic Theory, Vol. 147, No. 3, 2012, p. 1035-1063
In: Journal of Economic Theory, Vol. 147, No. 3, 2012, p. 1035-1063
Journal article > peer review
Claus Munk; Alexey Vladimirovich Rubtsov / Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Aarhus : Aarhus Universitetsforlag 2012, 34 p. (Thiele Research Reports, No. 06)
Aarhus : Aarhus Universitetsforlag 2012, 34 p. (Thiele Research Reports, No. 06)
Working paper
2010
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
In: Journal of Financial Economics, Vol. 96, No. 3, 2010, p. 433-462
In: Journal of Financial Economics, Vol. 96, No. 3, 2010, p. 433-462
Journal article > peer review
2009
Peter Ove Christensen; Kasper Larsen; Claus Munk / Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk
: SSRN: Social Science Research Network 2009, 35 p.
: SSRN: Social Science Research Network 2009, 35 p.
Working paper
2007
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies in Dynamic Stochastic Economies
In: Stochastic Economic Dynamics. ed. /Bjarne S. Jensen; Tapio Palokangas. Frederiksberg : Copenhagen Business School Press 2007, p. 271-316
In: Stochastic Economic Dynamics. ed. /Bjarne S. Jensen; Tapio Palokangas. Frederiksberg : Copenhagen Business School Press 2007, p. 271-316
Book chapter
2005
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
Paper presented at 33rd Annual Meeting of the European Finance Association (EFA 2006), 2005
Paper presented at 33rd Annual Meeting of the European Finance Association (EFA 2006), 2005
Paper
2004
Claus Munk; Carsten Sørensen; Tina Nygaard / Dynamic Asset Allocation under Mean-reverting Returns, Stochastic Interest Rates, and Inflation Uncertainty : Are Popular Recommendations Consistens with Rational Behavior?.
In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166
In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166
Journal article > peer review
2004
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies with Stochastic Interest Rates
In: Journal of Banking & Finance, Vol. 28, No. 8, 2004, p. 1987-2013
In: Journal of Banking & Finance, Vol. 28, No. 8, 2004, p. 1987-2013
Journal article > peer review
2002
Claus Munk; Carsten Sørensen; Tina Nygaard Vinther / Portfolio Choice under Inflation : Are Popular Recommendations Consistent with Rational Behavior?.
Paper presented at European Financial Management Association 2002 Annual Meetings, 2002
Paper presented at European Financial Management Association 2002 Annual Meetings, 2002
Paper
2001
Claus Munk; Carsten Sørensen; Tina Nygaard Vinther / Portfolio Choice under Inflation : Are Popular Recommendations Consistent with Rational Behavior?.
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2001, 21 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2001-6)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2001, 21 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2001-6)
Working paper
Claus Munk; Carsten Sørensen / Skal investorer med lang investeringshorisont have større aktiehandel?
In: Finans - Invest, No. 7, 2001, p. 10-16
In: Finans - Invest, No. 7, 2001, p. 10-16
Journal article > peer review
2000
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies with Stochastic Interest Rates
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 40 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-9)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 40 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-9)
Working paper
1999
Claus Munk; Carsten Sørensen / Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates
Odense : Syddansk Universitet 1999, 20 p.
Odense : Syddansk Universitet 1999, 20 p.
Working paper
More results... (total 36 results)
2023
Søren Fiig Jarner; Claus Munk; Mogens Steffensen / Hvad gør Danmarks pensionssystem til en af verdens bedste? : Nøglen er finansiel bæredygtighed.
In: Det danske pensionssystem: Sejre og udfordringer. En kronikserie . Frederiksberg : PeRCent, Copenhagen Business School 2023, p. 9-11
In: Det danske pensionssystem: Sejre og udfordringer. En kronikserie . Frederiksberg : PeRCent, Copenhagen Business School 2023, p. 9-11
Book chapter
2022
Søren Fiig Jarner; Claus Munk; Mogens Steffensen / Pensioner designet til at holde - hele livet
In: Børsen, 17.11.2022, p. 38-39
In: Børsen, 17.11.2022, p. 38-39
Contribution to newspaper - Feature article
2021
Claus Munk (Performer) / Rig på viden. E44 : Tvungen pension med Claus Munk.
København : Rig på viden 2021
København : Rig på viden 2021
Sound/Visual production (digital)
2019
Claus Munk / Design og velfærdsimplikationer af tvungen pensionsopsparing
Frederiksberg : PeRCent, Copenhagen Business School 15.8.2019
Frederiksberg : PeRCent, Copenhagen Business School 15.8.2019
Net publication - Internet publication
2020
Serieiværksætter kræver sine investeringer ti gange igen
31/01/2020 // Penge og Privatøkonomi // Ulla Oppermann Blankholm
2018
Boligejere med udskældte lån sparer mere fornuftigt op
03/11/2018 // Finans.dk
Nye regnemetoder mindsker danskernes pension
05/06/2018 // Finanswatch.dk // Anne Louise Houmann
2016
Professor: Alarmklokker burde have ringet hos investorerne
14/09/2016 // Børsen // Nicolaj Vorre, Mads Meisner og Morten Elstrup
Mens alle taler pensionsalder: Er det i virkeligheden en dårlig forretning at spare op?
21/08/2016 // Raeson.dk // Astrid Vibe Kjærvik
Fare for at overvurdere sine egne evner
10/08/2016 // Børsen // Thomas C. Høie
2015
Ram plet med din aktiespredning
28/05/2015 // Penge og Privatøkonomi // Ulla Oppermann Blankholm
Bedste danske nationaløkonomer 2015
12/05/2015 // Punditokraterne.dk
Research Projects
Outside activities
- Course teacher and organizer, Doctoral School of Finance, Finland, every year since 2005
- Occasional consulting for Forsikring & Pension (Insurance & Pension Denmark) and Rådet for Afkastforventninger (Council for Return Expectations), since 2017