Portfolio problems stopping at first hitting time with application to default risk. - Holger Kraft; Mogens Steffensen (Math. Methods Oper. Res., 2006)

On Worst-Case Portfolio Optimization. - Ralf Korn; Mogens Steffensen (SIAM J. Control. Optim., 2007)

Functional High Performance Financial IT. - Jost Berthold; Andrzej Filinski; Fritz Henglein; Ken Friis Larsen; Mogens Steffensen; Brian Vinter (Trends in Functional Programming, 2011)

A dynamic programming approach to constrained portfolios. - Holger Kraft; Mogens Steffensen (Eur. J. Oper. Res., 2013)

Consumption-portfolio optimization with recursive utility in incomplete markets. - Holger Kraft; Frank Thomas Seifried; Mogens Steffensen (Finance Stochastics, 2013)

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)

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. - Jia-Wen Gu; Mogens Steffensen; Harry Zheng (Math. Oper. Res., 2018)

Eliciting Risk Preferences and Elasticity of Substitution. - Johan Burgaard; Mogens Steffensen (Decis. Anal., 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)