Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

Publication year:
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61 - 70 out of 76Page size: 10
  1. 2020
  2. 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. 405-438

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

  3. 2021
  4. 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. 263-270

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

  5. 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

  6. 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

  7. 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

  8. 2022
  9. 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

  10. 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

  11. 2023
  12. 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

  13. 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

  14. Published

    Optimal consumption, investment, and insurance under state-dependent risk aversion

    Steffensen, Mogens & Søe, Julie Bjørner, 2023, In: ASTIN Bulletin. 53, 1, p. 104-128 25 p.

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

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