Mogens Steffensen

According to our database, Mogens Steffensen authored at least 9 papers between 2006 and 2020.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2020

Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems.

Esben Kryger, Maj-Britt Nordfang, Mogens Steffensen

Math. Methods Oper. Res., 2020

Eliciting Risk Preferences and Elasticity of Substitution.

Johan Burgaard, Mogens Steffensen

Decis. Anal., 2020

2018

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model.

Jia-Wen Gu, Mogens Steffensen, Harry Zheng

Math. Oper. Res., 2018

2015

A combined stochastic programming and optimal control approach to personal finance and pensions.

Agnieszka Karolina Konicz, David Pisinger, Kourosh Marjani Rasmussen, Mogens Steffensen

OR Spectr., 2015

2013

Consumption-portfolio optimization with recursive utility in incomplete markets.

Holger Kraft, Frank Thomas Seifried, Mogens Steffensen

Finance Stochastics, 2013

A dynamic programming approach to constrained portfolios.

Holger Kraft, Mogens Steffensen

Eur. J. Oper. Res., 2013

2011

Functional High Performance Financial IT.

Jost Berthold, Andrzej Filinski, Fritz Henglein, Ken Friis Larsen, Mogens Steffensen, Brian Vinter

Proceedings of the Trends in Functional Programming, 12th International Symposium, 2011

2007

On Worst-Case Portfolio Optimization.

Ralf Korn, Mogens Steffensen

SIAM J. Control. Optim., 2007

2006

Portfolio problems stopping at first hitting time with application to default risk.

Holger Kraft, Mogens Steffensen

Math. Methods Oper. Res., 2006