cmfi

Department of Finance

Claus
Munk
Professor
,
Ph.D


Room: SOL/A5.13
Tel:
+4538152265
E-mail: cm.fi@cbs.dk
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

Teaching Fall 2018:

  • Investments (MSc FIN)
  • Advanced Asset Pricing (PhD)
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:
2019
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
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 > peer review
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
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
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
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)
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)
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)
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
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
Journal article > peer review
More results... (total 16 results)
Research Projects