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Carsten Sørensen

Professor , M.Sc., PhD
Carsten Sørensen

Department of Finance

Solbjerg Plads 3, A5
2000 Frederiksberg

Tel.: +45 3815 3605
Fax:+45 3815 3600
E-mail: cs.fi@cbs.dk



Link to this homepage: uk.cbs.dk/staff/cs


Primary research areas

  • Dynamic asset allocation
  • Portfolio theory
  • Derivative securities
  • Term structure theory
  • Real options and commodity derivatives

Administrative functions

Member of the Business Administration and Management Science Study Board


Selected publications

Dynamic Asset Allocation and Fixed Income Management, Journal of Financial and Quantitative Analysis, Vol. 34, No. 4, 1999, 513-531.

Determinants of the implied shadow exchange rates from a target zone (with Jesper Rangvid), European Economic Review, Vol. 45, No. 9, 2001, 1665-1696.

Modeling Seasonality in Agricultural Commodity Futures, Journal of Futures Markets, Vol. 22, No. 5, 2002, 393-426.

Optimal Consumption and Investment Strategies with Stochastic Interest Rates (with Claus Munk), Journal of Banking and Finance, Vol 28, No. 8, 2004, 1987-2013.

Dynamic asset allocation with stochastic income and interest rates (with Claus Munk), forthcoming in Journal of Financial Economics.



Last updated by Betina Thestrup 22/10/2009