Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

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  1. Published

    Inconsistent Investment and Consumption Problems

    Kronborg, M. T. & Steffensen, Mogens, 2015, In: Applied Mathematics and Optimization. 71, 3, p. 473-515

    Research output: Contribution to journal › Journal article › Research › peer-review

  2. Published

    Optimal consumption, investment and life insurance with surrender option guarantee

    Kronborg, M. T. & Steffensen, Mogens, 2 Jan 2015, In: Scandinavian Actuarial Journal. 2015, 1, p. 59-87

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

    How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach

    Kraft, H. & Steffensen, Mogens, 2005, Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.

    Research output: Working paper › Research

  4. Published

    A Dynamic Programming Approach to Constrained Portfolios

    Kraft, H. & Steffensen, Mogens, 2013, In: European Journal of Operational Research. 229, 2, p. 453-461

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Published

    Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

    Kraft, H., Seifried, F. T. & Steffensen, Mogens, 2013, In: Finance and Stochastics. 17, p. 161-196

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. Published

    Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach.

    Kraft, H. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-21.

    Research output: Working paper › Research

  7. Published

    Worst Case Portfolio Optimization and HJB-Systems.

    Korn, R. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-17.

    Research output: Working paper › Research

  8. Published

    Worst-Case-Optimal Dynamic Reinsurance for Large Claims

    Korn, R., Menkens, O. & Steffensen, Mogens, 2012, In: European Actuarial Journal. 2, 1, p. 21-48

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

    A combined stochastic programming and optimal control approach to personal finance and pensions

    Konicz, A. K., Pisinger, D., Rasmussen, K. M. & Steffensen, Mogens, 2015, In: OR Spectrum - Quantitative Approaches in Management. 37, 3, p. 583-616

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    How sub-optimal are age-based life-cycle investment products?

    Khemka, G., Steffensen, Mogens & Warren, G. J., Jan 2021, In: International Review of Financial Analysis. 73, 15 p., 101619.

    Research output: Contribution to journal › Journal article › Research › peer-review

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