Morten Tolver Kronborg

ATP

Industrial Ph.D. student

Kongens Vænge 8

DK-3400 Hillerød

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

109

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Inconsistent Investment and Consumption Problems

http://link.springer.com/journal/245 (DOI: 10.1007/s00245-014-9267-z)
Number of pages: 36 Posted: 29 Mar 2011 Last Revised: 11 Aug 2020
Morten Tolver Kronborg and Mogens Steffensen
ATP and University of Copenhagen
Downloads 88 (388,776)
Citation 6

Abstract:

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Time consistency; time inconsistency; stochastic control; dynamic programming; pseudo Hamilton-Jacobi-Bellman equation; mean-variance; mean-standard deviation; state dependent risk aversion.

2.

Optimal Consumption, Investment and Life Insurance With Surrender Option Guarantee

Taylor & Francis in Scandinavian Actuarial Journal, 2013, http://www.tandfonline.com (DOI: 10.1080/03461238.2013.775964)
Number of pages: 26 Posted: 28 Sep 2020
Morten Tolver Kronborg and Mogens Steffensen
ATP and University of Copenhagen
Downloads 14 (742,879)

Abstract:

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Stochastic Control; Martingale Method; Life Insurance; Rate Guarantee; Option Based Portfolio Insurance; CRRA Utility

3.

Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee

Risks 2014, 2, 171-194; doi:10.3390/risks2020171
Number of pages: 24 Posted: 14 Jul 2012 Last Revised: 11 Aug 2020
Morten Tolver Kronborg
ATP
Downloads 7 (807,996)

Abstract:

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stochastic control; martingale method; option-based portfolio insurance; American put option; human capital; borrowing constraint; CRRA utility