Claus Munk

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Solving life-cycle problems with biometric risk by artificial insurance markets Scandinavian Actuarial Journal	2022-06-13	Paper
Hedging recessions Journal of Economic Dynamics and Control	2019-11-21	Paper
Housing habits and their implications for life-cycle consumption and investment Review of Finance	2019-10-25	Paper
Asset allocation over the life cycle: how much do taxes matter? Journal of Economic Dynamics and Control	2018-11-01	Paper
Consumption habits and humps Economic Theory	2017-09-08	Paper
Portfolio management with stochastic interest rates and inflation ambiguity Annals of Finance	2014-12-12	Paper
Stochastic duration and fast coupon bond option pricing in multi-factor models Review of Derivatives Research	2013-10-30	Paper
Equilibrium in securities markets with heterogeneous investors and unspanned income risk Journal of Economic Theory	2012-05-14	Paper
The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts Journal of Economic Dynamics and Control	2012-05-04	Paper
Optimal housing, consumption, and investment decisions over the life cycle Management Science	2011-08-09	Paper
Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences Journal of Economic Dynamics and Control	2010-01-19	Paper
Optimal consumption and investment strategies in dynamic stochastic economies	2009-02-26	Paper
Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good Journal of Economic Dynamics and Control	2008-10-24	Paper
The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem. Applied Mathematics and Computation	2003-01-28	Paper
The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices * Review of Finance	2002-09-22	Paper

Research outcomes over time

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