Department of Finance


Room: SOL/A5.13

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
Administrative tasks

Link to this homepage

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:
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)
Working paper
Academic Interests

Research Projects
Outside activities
  • Course teacher and organizer Doctoral School of Finance, Finland, 2014-2019
  • Consulting PFA, 2017
  • Consulting Forsikring & Pension (Insurance & Pension Denmark), 2017-2019
  • Course teacher and organizer Den Danske Aktuarforening (The Danish Society of Actuaries), 2018