Carsten Sørensen

Copenhagen Business School - Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 16,342

SSRN RANKINGS

Top 16,342

in Total Papers Downloads

6,533

TOTAL CITATIONS
Rank 14,815

SSRN RANKINGS

Top 14,815

in Total Papers Citations

130

Scholarly Papers (12)

1.

Seasonality in Agricultural Commodity Futures

Number of pages: 40 Posted: 07 Nov 2000
Carsten Sørensen
Copenhagen Business School - Department of Finance
Downloads 1,966 (18,195)
Citation 11

Abstract:

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2.

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

Number of pages: 45 Posted: 27 Feb 2002
Martin Christian Richter and Carsten Sørensen
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Copenhagen Business School - Department of Finance
Downloads 1,906 (19,106)
Citation 50

Abstract:

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3.

Dynamic Asset Allocation with Stochastic Income and Interest Rates

EFA 2006 Zurich Meetings
Number of pages: 63 Posted: 02 Mar 2005 Last Revised: 05 Aug 2009
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 532 (113,911)
Citation 47

Abstract:

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Portfolio management, labor income risk, interest rate risk, hedging, borrowing constraints, life-cycle

4.

Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates

Number of pages: 22 Posted: 17 Dec 1999
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 446 (141,030)
Citation 2

Abstract:

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Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Number of pages: 44 Posted: 10 May 2001
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 420 (149,570)
Citation 7

Abstract:

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Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Posted: 17 Jun 2004
Claus Munk and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance

Abstract:

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Dynamic asset allocation, hedging, term structure of interest rates

6.

Portfolio Choice Under Inflation: Are Popular Recommendations Consistent with Rational Behavior?

Number of pages: 23 Posted: 04 Mar 2002
Claus Munk, Carsten Sørensen and Tina Nygaard Vinther
Copenhagen Business School, Copenhagen Business School - Department of Finance and SimCorp
Downloads 319 (204,871)
Citation 1

Abstract:

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7.

A General Model of Dynamic Asset Allocation with Incomplete Information and Learning

Number of pages: 48 Posted: 28 Feb 2005 Last Revised: 20 Jan 2011
Carsten Sørensen and Anders B. Trolle
Copenhagen Business School - Department of Finance and Copenhagen Business School
Downloads 239 (275,920)
Citation 2

Abstract:

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Portfolio choice, learning, VAR, predictability, hedging demands

8.

Paying for Minimum Interest Rate Guarantees: Who Should Compensate Who?

Number of pages: 36 Posted: 03 Nov 2000
Bjarne Astrup Jensen and Carsten Sørensen
Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 231 (285,344)
Citation 5

Abstract:

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Minimum interest rate guarantee, asset allocation restrictions, utility loss

9.

Interest Rate Uncertainty and Strategic Asset Allocation with Borrowing and Short Sales Constraints

Number of pages: 28 Posted: 01 Mar 2007
Carsten Sørensen
Copenhagen Business School - Department of Finance
Downloads 180 (360,324)

Abstract:

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Dynamic portfolio choice, stochastic interest rates, incomplete markets

10.

Convergence in the Erm and Declining Numbers of Common Stochastic Trends

Number of pages: 26 Posted: 25 Mar 2001
Jesper Rangvid and Carsten Sørensen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 171 (377,117)
Citation 5

Abstract:

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11.

Money as Options

Number of pages: 45 Posted: 30 May 2024 Last Revised: 09 May 2025
Paul Whelan and Carsten Sørensen
The Chinese University of Hong Kong and Copenhagen Business School - Department of Finance
Downloads 123 (494,400)

Abstract:

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Interest rates, inflation, deflation, money, lower bound, general equilibrium.

12.

An Equilibrium Approach to Pricing Foreign Currency Options

EUROPEAN FINANCIAL MANAGEMENT
Posted: 24 Oct 1996
Carsten Sørensen
Copenhagen Business School - Department of Finance

Abstract:

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