Mogens Steffensen

Publication Activity (10 Years)

Years Active: 2006-2020
Publications (10 Years): 4

Top Topics

Portfolio Optimization

Dynamic Programming

Asset Liability Management

Top Venues

Finance Stochastics

Math. Oper. Res.

Publications

Johan Burgaard, Mogens Steffensen
Eliciting Risk Preferences and Elasticity of Substitution. Decis. Anal. 17 (4) (2020)
Esben Kryger, Maj-Britt Nordfang, Mogens Steffensen
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems. Math. Methods Oper. Res. 91 (3) (2020)
Jia-Wen Gu, Mogens Steffensen, Harry Zheng
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. Math. Oper. Res. 43 (2) (2018)
Agnieszka Karolina Konicz, David Pisinger, Kourosh Marjani Rasmussen, Mogens Steffensen
A combined stochastic programming and optimal control approach to personal finance and pensions. OR Spectr. 37 (3) (2015)
Holger Kraft, Mogens Steffensen
A dynamic programming approach to constrained portfolios. Eur. J. Oper. Res. 229 (2) (2013)
Holger Kraft, Frank Thomas Seifried, Mogens Steffensen
Consumption-portfolio optimization with recursive utility in incomplete markets. Finance Stochastics 17 (1) (2013)
Jost Berthold, Andrzej Filinski, Fritz Henglein, Ken Friis Larsen, Mogens Steffensen, Brian Vinter
Functional High Performance Financial IT. Trends in Functional Programming (2011)
Ralf Korn, Mogens Steffensen
On Worst-Case Portfolio Optimization. SIAM J. Control. Optim. 46 (6) (2007)
Holger Kraft, Mogens Steffensen
Portfolio problems stopping at first hitting time with application to default risk. Math. Methods Oper. Res. 63 (1) (2006)