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Bjarne As­trup Jensen

Associate Professor

Subjects
Finance Pensions Mortgage finance Interest rates Taxes Securities

Primary research areas

Tax­a­tion and fin­ance - Tax neut­ral­ity and de­vi­ations
Pen­sion sav­ing - In­di­vidu­al op­tim­al­ity over the life cycle
Dan­ish mort­gage mar­kets and em­bed­ded op­tions

Fin­an­cial ana­lys­is us­ing math­em­at­ic­al mod­el­ing tools

My focus is on the application of mathematical modeling tools in the analysis of problems related to financial markets. E.g.,  

Individuals’ intertemporal consumption/investment choice 

Design of pension saving arrangements 

Choice of mortgage product 

The influence of taxation on asset pricing, asset allocation and investment decisions from the viewpoint of neutral taxation mechanisms  

With coauthors I am working on a large dynamic optimization model that includes pension saving and housing. We find that many pension arrangements with mandatory contributions start too early, are inoptimally characterized by constant contribution rates over the lifecycle and delay young peoples’ entry to the housing market.  

Another topic is an analysis and reinterpretation of various key financial numbers from bond investments, utilizing Makeham’s formula known from actuarial science. It includes the yield after tax and an extension of Samuelson’s tax neutrality result for true economic depreciation.  

Publications

See all publications

September 2023

Optimal Retirement Savings Over the Life Cycle

A Deterministic Analysis in Closed Form

Mar­cel Fi­s­cher, Associate Professor

Bjar­ne Astrup Jen­sen, Associate Professor

Marlene Koch
Go to publication

Outside activities

The pat­ent case for vari­able rate Dan­ish mort­gages , 1999 - 2001

Ana­lyses re­lated to the law­suit filed by a num­ber of Dan­ish fin­an­cial in­sti­tu­tions against Realkred­it Dan­mark

I wrote a (co-au­thored) re­port on Hader­slev mu­ni­cip­al­ity’s swap con­tracts , 2013 - 2013

I wrote a re­port on Syddjurs mu­ni­cip­al­ity’s swap con­tracts , 2017 - 2017

As­sist­ance to a law firm in con­nec­tion with court cases with swap con­tracts , 2014 - 2017

Ex­pert wit­ness in a court case on in­vest­ment per­form­ance , 2011 - 2012

Con­sult­ant to IBA, Kold­ing, as­sist­ing with the es­tab­lish­ment of new edu­ca­tion for cer­ti­fy­ing em­ploy­ees trad­ing risky fin­an­cial products , 2021 -