Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2020
- Published
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
Kryger, E., Nordfang, M. B. & Steffensen, Mogens, 1 Jun 2020, In: Mathematical Methods of Operations Research. 91, 3, p. 405-438Research output: Contribution to journal › Journal article › Research › peer-review
- 2021
- Published
On retirement time decision making
Chen, A., Hentschel, F. & Steffensen, Mogens, 2021, In: Insurance: Mathematics and Economics. 100, p. 107-129 23 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A note on P- vs. Q-expected loss portfolio constraints
Gu, J. W., Steffensen, Mogens & Zheng, H., 2021, In: Quantitative Finance. 21, 2, p. 263-270Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
An intrinsic value approach to valuation with forward–backward loops in dividend paying stocks
Nyegaard, A. K., Ott, J. R. & Steffensen, Mogens, 2021, In: Mathematics. 9, 13, 23 p., 1520.Research output: Contribution to journal › Journal article › Research › peer-review
- 2022
- Published
On the cost-of-capital rate under incomplete market valuation
Albrecher, H., Eisele, K. T., Steffensen, Mogens & Wüthrich, M. V., 2022, In: Journal of Risk and Insurance. 89, p. 1139–1158 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Special Issue “Risks : Feature Papers 2021”
Steffensen, Mogens, 2022, In: Risks. 10, 3, 2 p., 64.Research output: Contribution to journal › Editorial › Research › peer-review
- 2023
- Published
Stable dividends under linear-quadratic optimisation
Avanzi, B., Falden, Debbie Kusch & Steffensen, Mogens, 2023, In: Quantitative Finance. 23, 9, p. 1199-1215 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Continuing Risks
Constantinescu, C., Guillen, M. & Steffensen, Mogens, 2023, In: Risks. 11, 1, 2 p., 10.Research output: Contribution to journal › Editorial › Research › peer-review
- Published
Equilibrium investment with random risk aversion
Desmettre, S. & Steffensen, Mogens, 2023, In: Mathematical Finance. 33, 3, p. 946-975 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3767
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222
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Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
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209
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Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
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204
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Personal non-life insurance decisions and the welfare loss from flat deductibles
Research output: Contribution to journal › Journal article › Research › peer-review
Published