Carsten Sørensen

Copenhagen Business School - Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

  • Copenhagen Business School - Department of Finance

SCHOLARLY PAPERS

11

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38

Scholarly Papers (11)

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1.

Seasonality in Agricultural Commodity Futures

Number of pages: 40 Posted: 07 Nov 2000
Carsten Sørensen
Copenhagen Business School - Department of Finance
Downloads 1,848 (16,042)
Citation 11

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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 1,828 (16,314)
Citation 48

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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 451 (111,634)
Citation 41

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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 421 (121,069)
Citation 2

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5.

Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Downloads 383 (134,916)

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 383 (133,772)
Citation 7

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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

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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 293 (179,862)
Citation 1

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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 218 (240,761)
Citation 2

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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 215 (243,894)
Citation 5

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Minimum interest rate guarantee, asset allocation restrictions, utility loss

9.

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 163 (311,727)
Citation 5

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10.

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 156 (323,561)

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Dynamic portfolio choice, stochastic interest rates, incomplete markets

11.

An Equilibrium Approach to Pricing Foreign Currency Options

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

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