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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.  

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–present