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Steffensen, Mogens's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,033 |
Total
Citations
25 |
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1.
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Steffensen, Mogens
University of Copenhagen Kraft, Holger
Goethe University Frankfurt
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381
(36,213)
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1
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portfolio optimization, liquidation, reorganization, default, finite state Markov chain
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2.
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Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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375
(36,931)
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10
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default risk, financial distress, default correlation, contagion, Markov chain
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3.
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Kraft, Holger
Goethe University Frankfurt Seifried, Frank Thomas
University of Kaiserslautern Steffensen, Mogens
University of Copenhagen
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03 Jun 10
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Last Revised:
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28 Jun 11
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373
(37,178)
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1
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consumption-portfolio optimization, recursive utility, stochastic control approach, stochastic volatility, unspanned state process, Campbell-Shiller approximation
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4.
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Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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327
(43,599)
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3
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portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor
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5.
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Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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271
(54,212)
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4
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Life insurance mathematics, Multi-state model, stochastic control, mortality, disability, unemployment risk
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6.
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Steffensen, Mogens
University of Copenhagen Kraft, Holger
Goethe University Frankfurt
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260
(56,786)
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1
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7.
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de Kock, Johan
Fraunhofer-ITWM Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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167
(88,950)
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1
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Markov chains, credit risk, credit derivatives, contagion
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8.
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Kryger, Esben Masotti
University of Copenhagen Steffensen, Mogens
University of Copenhagen
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141
(103,437)
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3
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9.
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Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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07 Dec 11
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Last Revised:
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18 Jul 12
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124
(115,133)
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Finance, Markov processes, Consumption-investment problems, Utility maximization
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10.
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Steffensen, Mogens
University of Copenhagen
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124
(115,133)
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Merton's problem, Hamilton-Jacobi-Bellman equation, marginal indirect utility, life-cycle investment
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11.
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Steffensen, Mogens
University of Copenhagen
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05 Nov 11
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Last Revised:
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09 Dec 11
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120
(118,217)
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Consistency, stochastic differential utility, pseudo-Bellman equations, time-globality, linear homogeneity
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12.
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Christiansen, Marcus Christian
University of Ulm - Department of Mathematics and Economics Steffensen, Mogens
University of Copenhagen
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117
(120,546)
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Worst case scenarios, Interest and transition rates, Dependence, First order basis, Capital requirement
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13.
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Kraft, Holger
Goethe University Frankfurt Steffensen, Mogens
University of Copenhagen
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103
(132,610)
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14.
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Bruhn, Kenneth
University of Copenhagen - Faculty of Science Steffensen, Mogens
University of Copenhagen
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88
(147,442)
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1
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Personal finance, Household finance, Multi-state model, Stochastic control, Power utility
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15.
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Steffensen, Mogens
University of Copenhagen Korn, Ralf
University of Kaiserslautern - Department of Mathematics Menkens, Olaf
Dublin City University - School of Mathematical Sciences
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40
(219,987)
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dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization
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16.
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Bruhn, Kenneth
University of Copenhagen - Faculty of Science Steffensen, Mogens
University of Copenhagen
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22
(268,490)
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stochastic control, quadratic optimization, linear regulation, consumption smoothing, formula based smoothed investment-linked annuities
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17.
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Kronborg, Morten Tolver
ATP Steffensen, Mogens
University of Copenhagen
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Time Inconsistent, Mean-Variance, State Dependent Risk Aversion, Stochastic Control, Asset Allocation, Consumption
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