Department of Finance
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.
- Investment and consumption decisions of individuals and households
- Asset allocation
- Asset pricing theory
Teaching Fall 2018:
- Investments (MSc FIN)
- Advanced Asset Pricing (PhD)
Theoretical Asset Pricing (Graduate School of Finance, Finland)
- 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.
In: Journal of Banking & Finance, Vol. 100, 3.2019, p. 1-27
Paper presented at 25th Annual Meeting of the German Finance Association. DGF 2018, 2018
In: Review of Finance, Vol. 22, No. 5, 8.2018, p. 1737-1762
In: Finans/Invest, No. 6, 12.2018, p. 6-14
In: Economic Theory, Vol. 64, No. 2, 8.2017, p. 305–330
Tilburg : Netspar 2016, 59 p. (Netspar Discussion Paper, No. 01/2016-010) (SAFE Working Paper, No. 139)
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2015, 60 p. (SAFE Working Paper, No. 85)
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2014, 46 p. (SAFE Working Paper, No. 53)
In: Journal of Accounting Research, Vol. 52, No. 3, 2014, p. 703-732
In: Annals of Finance, Vol. 10, No. 3, 2014, p. 419-455
In: Journal of Economic Dynamics and Control, Vol. 37, No. 11, 11.2013, p. 2217-2240
Frankfurt am Main : Johann Wolfgang Goethe-Universität 2013, 33 p. (SAFE Working Paper, No. 15)
Oxford : Oxford University Press 2013, 600 p.
In: Journal of Banking & Finance, Vol. 37, No. 5, 5.2013, p. 1397-1411
In: Management Science, Vol. 59, No. 2, 2013, p. 485-503
Aarhus : Aarhus Universitetsforlag 2012, 34 p. (Thiele Research Reports, No. 06)