Department of Finance

  • Danish Research Data for the Social Sciences (DRDS)
Head of Department
Cand.Scient.Oecon, Ph.D.

Room: SOL/A5.04
E-mail: cs.fi@cbs.dk

Primary research areas
  • Dynamic asset allocation
  • Portfolio Theory
  • Term structure of interest rates
  • Derivatives
  • Real options and commodity derivatives
Curriculum Vitae
Link to this homepage

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
Publications sorted by:
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
In: Journal of Financial Economics, Vol. 96, No. 3, 2010, p. 433-462
Journal article > peer review
Carsten Sørensen; Claus Munk / Optimal consumption and investment strategies in dynamic stochastic economies
In: Stochastic Economic Dynamics. ed. /Bjarne S. Jensen; Tapio Palokangas. Frederiksberg : Copenhagen Business School Press 2007, p. 271-316
Book chapter
Michael Møller; Carsten Sørensen; Jens Perch Nielsen / Er opsparing simplere end din investeringsrådgiver tror - eller mere indviklet end lærebogen tilsiger?
In: Finans - Invest, No. 8, 2006, p. 4-8, 20
Journal article > peer review
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
Paper presented at 33rd Annual Meeting of the European Finance Association (EFA 2006), 2005
Jesper Rangvid; Carsten Sørensen / International finansiering
In: Udviklingslinier i finansiering. ed. /Michael Christensen. 2005, p. 471-505
Book chapter
Carsten Sørensen; Anders Bjerre Trolle / Dynamic asset allocation and latent variables
København : Copenhagen Business School [wp] 2004, 55 p.
Working paper
Claus Munk; Carsten Sørensen; Tina Nygaard / Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty : Are popular recommendations consistens with rational behavior?.
In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166
Journal article > peer review
Claus Munk; Carsten Sørensen / Optimal consumption and investment strategies with stochastic interest rates
In: Journal of Banking & Finance, Vol. 28, No. 8, 2004, p. 1987-2013
Journal article > peer review
Jan Bo Jakobsen; Carsten Sørensen / The Dynamics of Bond Yields and the Stock Index : With an Application to the UK Stock and Bond Market.
In: Applied Financial Economics, Vol. 13, No. 5, 5.2003, p. 387-399
Journal article > peer review
Jesper Rangvid; Carsten Sørensen / Convergence in the ERM and Declining Numbers of Common Stochastic Trends
In: Journal of Emerging Market Finance, Vol. 1, No. 2, 2002, p. 184-213
Journal article > peer review
More results... (total 29 results)
Academic Interests

Research Projects
Outside activities
  • Member of the academic committee under the Danish FSA for the approval of learning objectives for the certification of financial advisors, 2011-2019
  • Director for Danish Finance Institute, April 2019-present
  • One-day course teacher at the Danish Society of Actuaries, 2019