Working papers

Current work

Portfolio choice with ETFs (Jan 2024). With Tom Ernst and Holger Kraft.

Asset pricing with clustered, controllable disasters. With Carina Fleischer, Holger Kraft, and Farina Weiss.

Optimal retirement saving and dissaving.

Older, inactive papers

Consumption and wage humps in a life-cycle model with education (Feb 2015). With Holger Kraft, Frank Seifried, and Mogens Steffensen.

Keep it simple: Dynamic bond portfolios under parameter uncertainty (Nov 2012). With Peter Feldhütter, Linda Sandris Larsen, and Anders Bjerre Trolle.

Dynamic asset allocation without a risk-free asset: What risks should be hedged? (March 2007)

No-arbitrage bounds on contingent claims prices with convex constraints on the dollar investments of the hedge portfolio (Sep 2002)

Optimal investment strategies with a Heath-Jarrow-Morton term structure of interest rates (Oct 1999). With Carsten Sørensen.

Numerical methods for continuous-time, continuous-state stochastic control problems (Nov 1997)