Browsing Department of Finance (FI) by Author "Sørensen, Carsten"
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Rangvid, Jesper; Sørensen, Carsten (København, 2000)[More information][Less information]
URI: http://hdl.handle.net/10398/7163 Files in this item: 1
rangvid_soerensen_wp2000-8.pdf (945.5Kb) -
Rangvid, Jesper; Sørensen, Carsten (København, 1998)[More information][Less information]
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Sørensen, Carsten; Trolle, Anders Bjerre (København, 2004)[More information][Less information]
Abstract: We derive an explicit solution to the portfolio problem of a power utility investor with preferences for wealth at a ¯nite investment horizon. The investor can invest in assets with return dynamics described as part of a general multivariate model. The modeling framework encompasses discrete-time VAR-models where some of the state-variables (e.g. expected excess returns) may not be directly observable. A realistic multivariate model is estimated and applied to analyze the portfolio implications of investment horizon and return predictability when real interest rates and expected excess returns on stock and bonds are not directly observed but must be estimated as part of the problem faced by the investor. The solution exhibits small variability in portfolio allocations over time compared to the case when excess returns are assumed observable. JEL Classification: G11 Keywords: Portfolio choice, predictability, VAR, unobserved state-variables, hedging demands URI: http://hdl.handle.net/10398/7151 Files in this item: 1
endeligt_wp_2004_8_030105.pdf (427.9Kb) -
Munk, Claus; Sørensen, Carsten (København, 2000)[More information][Less information]
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who should compensate who?Astrup Jensen, Bjarne; Sørensen, Carsten (København, 2000)[More information][Less information]
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recommendations consistent with rational behavior?Munk, Claus; Sørensen, Carsten; Vinther, Tina Nygaard (København, 2001)[More information][Less information]
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Sørensen, Carsten (København, 1999)[More information][Less information]
URI: http://hdl.handle.net/10398/7146 Files in this item: 1
soerensen_seasonality_wp9914.pdf (426.2Kb) -
the case of soybeansRichter, Martin; Sørensen, Carsten (København, 2002)[More information][Less information]
URI: http://hdl.handle.net/10398/7179 Files in this item: 1
richter_soerensen_stochastic.pdf (330.3Kb)
Now showing items 1-8 of 8