csfi
Department of Finance
- Danish Research Data for the Social Sciences (DRDS)
Carsten
Sørensen
Head of Department
,
Cand.Scient.Oecon, Ph.D.
Room:
SOL/A5.04
Tel:
+4538153605
E-mail:
cs.fi@cbs.dk
179914
![](https://www.cbs.dk/files/cbs.dk/styles/medium/public/carsten_soerensen_271.jpg?itok=LuXJ8v51)
Primary research areas
- Dynamic asset allocation
- Portfolio Theory
- Term structure of interest rates
- Derivatives
- Real options and commodity derivatives
Curriculum Vitae
Link to this homepage
www.cbs.dk/en/staff/csfi
Selected publications
- Munk, C., & Sørensen, C. (2010). Dynamic asset allocation with stochastic income and interest rates. Journal of Financial Economics, 96, 433-462.
- Munk, C., & Sørensen, C. (2004). Optimal Consumption and Investment Strategies with Stochastic Interest Rates. Journal of Banking and Finance, 28(8), 1987-2013.
- Sørensen, C. (2002). Modeling Seasonality in Agricultural Commodity Futures, Journal of Futures Markets, 22(5), 393-426.
- Rangvid, J., & Sørensen, C. (2001). Determinants of the implied shadow exchange rates from a target zone. European Economic Review, 45(9), 1665-1696.
- Sørensen, C. (1999). Dynamic Asset Allocation and Fixed Income Management, Journal of Financial and Quantitative Analysis, 34(4), 513-531
Publications sorted by:
2010
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
In: Journal of Financial Economics, Vol. 96, No. 3, 2010, p. 433-462
In: Journal of Financial Economics, Vol. 96, No. 3, 2010, p. 433-462
Journal article > peer review
2007
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies in Dynamic Stochastic Economies
In: Stochastic Economic Dynamics. ed. /Bjarne S. Jensen; Tapio Palokangas. Frederiksberg : Copenhagen Business School Press 2007, p. 271-316
In: Stochastic Economic Dynamics. ed. /Bjarne S. Jensen; Tapio Palokangas. Frederiksberg : Copenhagen Business School Press 2007, p. 271-316
Book chapter
2006
Michael Møller; Carsten Sørensen; Jens Perch Nielsen / Er opsparing simplere end din investeringsrådgiver tror - eller mere indviklet end lærebogen tilsiger?
In: Finans - Invest, No. 8, 2006, p. 4-8, 20
In: Finans - Invest, No. 8, 2006, p. 4-8, 20
Journal article > peer review
2005
Claus Munk; Carsten Sørensen / Dynamic Asset Allocation with Stochastic Income and Interest Rates
Paper presented at 33rd Annual Meeting of the European Finance Association (EFA 2006), 2005
Paper presented at 33rd Annual Meeting of the European Finance Association (EFA 2006), 2005
Paper
Jesper Rangvid; Carsten Sørensen / International finansiering
In: Udviklingslinier i finansiering. ed. /Michael Christensen. 2005, p. 471-505
In: Udviklingslinier i finansiering. ed. /Michael Christensen. 2005, p. 471-505
Book chapter
2004
Claus Munk; Carsten Sørensen; Tina Nygaard / Dynamic Asset Allocation under Mean-reverting Returns, Stochastic Interest Rates, and Inflation Uncertainty : Are Popular Recommendations Consistens with Rational Behavior?.
In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166
In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166
Journal article > peer review
Carsten Sørensen; Anders Bjerre Trolle / Dynamic asset allocation and latent variables
København : Copenhagen Business School [wp] 2004, 55 p.
København : Copenhagen Business School [wp] 2004, 55 p.
Working paper
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies with Stochastic Interest Rates
In: Journal of Banking & Finance, Vol. 28, No. 8, 2004, p. 1987-2013
In: Journal of Banking & Finance, Vol. 28, No. 8, 2004, p. 1987-2013
Journal article > peer review
2003
Jan Bo Jakobsen; Carsten Sørensen / The Dynamics of Bond Yields and the Stock Index : With an Application to the UK Stock and Bond Market.
In: Applied Financial Economics, Vol. 13, No. 5, 5.2003, p. 387-399
In: Applied Financial Economics, Vol. 13, No. 5, 5.2003, p. 387-399
Journal article > peer review
2002
Jesper Rangvid; Carsten Sørensen / Convergence in the ERM and Declining Numbers of Common Stochastic Trends
In: Journal of Emerging Market Finance, Vol. 1, No. 2, 2002, p. 184-213
In: Journal of Emerging Market Finance, Vol. 1, No. 2, 2002, p. 184-213
Journal article > peer review
2002
Carsten Sørensen / Modeling Seasonality in Agricultural Commodity Futures
In: Journal of Futures Markets, Vol. 22, No. 5, 2002, p. 393-426
In: Journal of Futures Markets, Vol. 22, No. 5, 2002, p. 393-426
Journal article > peer review
Claus Munk; Carsten Sørensen; Tina Nygaard Vinther / Portfolio Choice under Inflation : Are Popular Recommendations Consistent with Rational Behavior?.
Paper presented at European Financial Management Association 2002 Annual Meetings, 2002
Paper presented at European Financial Management Association 2002 Annual Meetings, 2002
Paper
Martin Christian Richter; Carsten Sørensen / Stochastic Volatility and Seasonality in Commodity Futures and Options : The Case of Soybeans.
In: EFA 2002 Berlin Meetings Presented Paper2002, p. 43
In: EFA 2002 Berlin Meetings Presented Paper2002, p. 43
Article in proceedings
Martin Richter; Carsten Sørensen / Stochastic Volatility and Seasonality in Commodity Futures and Options : The Case of Soybeans.
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2002, 45 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2002-4)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2002, 45 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2002-4)
Working paper
2001
Jesper Rangvid; Carsten Sørensen / Determinants of the Implied Shadow Exchange Rates from a Target Zone
In: European Economic Review, Vol. 45, No. 9, 2001, p. 1665-1696
In: European Economic Review, Vol. 45, No. 9, 2001, p. 1665-1696
Journal article > peer review
Bjarne Astrup Jensen; Carsten Sørensen / Paying for minimum interest rate guarantees : who should compensate who?.
In: European Financial Management, Vol. 7, No. 2, 2001, p. 29
In: European Financial Management, Vol. 7, No. 2, 2001, p. 29
Journal article > peer review
Claus Munk; Carsten Sørensen; Tina Nygaard Vinther / Portfolio Choice under Inflation : Are Popular Recommendations Consistent with Rational Behavior?.
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2001, 21 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2001-6)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2001, 21 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2001-6)
Working paper
Claus Munk; Carsten Sørensen / Skal investorer med lang investeringshorisont have større aktiehandel?
In: Finans - Invest, No. 7, 2001, p. 10-16
In: Finans - Invest, No. 7, 2001, p. 10-16
Journal article > peer review
2000
Jesper Rangvid; Carsten Sørensen / Convergence in the ERM and Declining Numbers of Common Stochastic Trends
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 24 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-8)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 24 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-8)
Working paper
Bjarne Astrup Jensen; Carsten Sørensen / Hvorfor skal pensionsopsparere betale for generende rentegarantier?
In: Finans - Invest, No. 2, 2000, p. 18-23
In: Finans - Invest, No. 2, 2000, p. 18-23
Journal article > peer review
2000
Claus Munk; Carsten Sørensen / Optimal Consumption and Investment Strategies with Stochastic Interest Rates
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 40 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-9)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 40 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-9)
Working paper
Bjarne Astrup Jensen; Carsten Sørensen / Paying for Minimum Interest Rate Guarantees : Who Should Compensate Who?.
In: FEN - European Financial Management Association, 2000 Athens Meeting, vol. 1, no. 82000
In: FEN - European Financial Management Association, 2000 Athens Meeting, vol. 1, no. 82000
Article in proceedings
Bjarne Astrup Jensen; Carsten Sørensen / Paying for Minimum Interest Rate Guarantees : Who Should Compensate Who?.
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 29 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-1)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 2000, 29 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 2000-1)
Working paper
Carsten Sørensen / Seasonality in Agricultural Commodity Futures
In: Glasgow 2000 Symposium Proceedings2000 (Chicago Board of Trade Symposium Series)
In: Glasgow 2000 Symposium Proceedings2000 (Chicago Board of Trade Symposium Series)
Article in proceedings
1999
Carsten Sørensen / Dynamic asset allocation and fixed income management
In: Journal of Financial and Quantitative Analysis, Vol. 34, No. 4, 1999, p. 513-531
In: Journal of Financial and Quantitative Analysis, Vol. 34, No. 4, 1999, p. 513-531
Journal article > peer review
Claus Munk; Carsten Sørensen / Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates
Odense : Syddansk Universitet 1999, 20 p.
Odense : Syddansk Universitet 1999, 20 p.
Working paper
Carsten Sørensen / Seasonality in Agricultural Commodity Futures
Frederiksberg : Institut for Finansiering, Copenhagen Business School 1999, 37 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 1999-14)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 1999, 37 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 1999-14)
Working paper
Carsten Sørensen / Stock Index Dynamics and Derivatives Pricing with Stochastic Interest Rates
In: Review of Derivatives Research, 1999, p. 261-285
In: Review of Derivatives Research, 1999, p. 261-285
Journal article > peer review
1998
Jesper Rangvid; Carsten Sørensen / Determinants of the Implied Shadow Exchange Rates from a Target Zone
Frederiksberg : Institut for Finansiering, Copenhagen Business School 1998, 45 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 1998-15)
Frederiksberg : Institut for Finansiering, Copenhagen Business School 1998, 45 p. (Working Papers / Department of Finance. Copenhagen Business School, No. 1998-15)
Working paper
More results... (total 29 results)
2022
Carsten Sørensen; Niels Arne Dam / Danish Finance Institute: Akademikerbladet skriver "konspiratoriske spekulationer"
In: Akademikerbladet, 14.2.2022
In: Akademikerbladet, 14.2.2022
Comment/debate
2015
Nyt center på CBS skal sikre det danske pensionssystem
20/02/2015 // Cbs.dk (Copenhagen Business School)
New Pension Research Centre at Copenhagen Business School
26/01/2015 // Cbs.dk (Copenhagen Business School)
Nyt center skal forske i pensioner
10/01/2015 // Berlingske // Lars Erik Skovgaard
2014
EY bag HA Almens intro business case igen i år
14/08/2014 // CBSObserver.dk // Mads Dalgaard Madsen, Jørn Albertus
2013
Novo skærper fokus på megaopkøb
14/05/2013 // Børsen // Tom Frovst
2006
Navision-stiftere i ny nilliardinvestering
09/11/2006 // Børsen
Et kig i krystalkuglen
01/09/2006 // Børsen, temaavis
Academic Interests
Research Projects
Outside activities
- Member of the academic committee under the Danish FSA for the approval of learning objectives for the certification of financial advisors, 2011- present
- Director for Danish Finance Institute, April 2019-present
- One-day course teacher at the Danish Society of Actuaries, 2019