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Carsten Sørensen

Head of Department

Publications

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14 February 2022

Danish Finance Institute: Akademikerbladet skriver "konspiratoriske spekulationer"

Car­sten Sø­ren­sen, Head of Department

Niels Arne Dam
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2010

Dynamic Asset Allocation with Stochastic Income and Interest Rates

Claus Munk, Professor

Car­sten Sø­ren­sen, Head of Department

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2007

Optimal Consumption and Investment Strategies in Dynamic Stochastic Economies

Claus Munk, Professor

Car­sten Sø­ren­sen, Head of Department

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Se­lec­ted pub­lic­a­tions

  • Munk, C., & Sørensen, C. (2010). Dynamic asset allocation with stochastic income and interest rates. Journal of Financial Economics, 96, 433-462.
  • Munk, C., & Sørensen, C. (2004). Optimal Consumption and Investment Strategies with Stochastic Interest Rates. Journal of Banking and Finance, 28(8), 1987-2013.
  • Sørensen, C. (2002). Modeling Seasonality in Agricultural Commodity Futures, Journal of Futures Markets, 22(5), 393-426.
  • Rangvid, J., & Sørensen, C. (2001). Determinants of the implied shadow exchange rates from a target zone. European Economic Review, 45(9), 1665-1696.
  • Sørensen, C. (1999). Dynamic Asset Allocation and Fixed Income Management, Journal of Financial and Quantitative Analysis, 34(4), 513-531