Papers By Topic

• Derivative Securities, Term Structure, and Default Risk
• Expected Utility and Portfolio Choice
• Common Knowledge
• Equilibrium in CAPM (and related issues)
• Bargaining Theory
• Mathematical Economics
• Mathematics
• Public Debt, Foreign Debt, and the Balance of Payments (mainly in Danish)

Derivative Securities, Term Structure, and Default Risk

• "Dividends in the Theory of Derivative Securities Pricing," forthcoming in Economic Theory (2006) [Abstract] [Paper (pdf)]
• "Yield Spreads and Optimal Public Debt Management Under the Single Currency," in European Capital Markets with a Single Currency, edited by J. Dermine and P. Hillion, Oxford University Press, 1999 [Abstract]
• "Understanding N(d1) and N(d2): Risk-Adjusted Probabilities in the Black-Scholes Model," Finance 14 (1993), 95-106 [Abstract]
• Abstract of "Exchange Rate and Term Structure Dynamics and the Pricing of Derivative Securities" (with J. Saá-Requejo), Journal of Finance 48 (1993), 1112-1113.
• Discussion of "A Term Structure Model and the Pricing of Interest Rate Derivatives," by K. Sandmann and D. Sondermann, Review of Futures Markets 12 (1993), 425-430.

Expected Utility and Portfolio Choice

• "Instantaneous Arbitrage and the CAPM," May 2006 [Abstract] [Paper (pdf)]
• "The Instantaneous Capital Market Line," with M. Vassalou, Economic Theory 28, No. 3, August 2006, 651-664. [Abstract] [Paper (pdf)]
• "Monotone Risk Aversion," Economic Theory 25 (2005), 203-215. [Abstract] [Paper (pdf)]
• "Sharpe Ratios and Alphas in Continuous Time," with M. Vassalou, Journal of Financial and Quantitative Analysis 39, No. 1, March 2004, 103-114. [Abstract] [Paper (pdf)]
• "Parametric Characterizations of Risk Aversion and Prudence," with F. Lajeri, Economic Theory 15 (2000), 469-476 [Abstract] [Paper (pdf)]
• "Differentiable von Neumann-Morgenstern Utility," Economic Theory14 (1999), 285-296 [Abstract] [Paper (pdf)]
• "The Expected Utility of Portfolios of Assets," Journal of Mathematical Economics 22 (1993), 439-461 [Abstract]
• "Robustness of the Market Model," Economic Theory 3 (1993), 365-369 [Abstract]
• "The Utility of Infinite Menus," Economics Letters 39 (1992), 43-47 [Abstract]
• "Comparative Risk Aversion," Economics Letters 27 (1988), 321-325 [Abstract]
• "Portfolio Selection in the Mean-Variance Model: A Note," Journal of Finance 42 (1987), 1371-1376 [Summary]
• "Positively Weighted Frontier Portfolios: A Note," Journal of Finance 42 (1987), 471.
• "Attractive Compounds of Unattractive Investments and Gambles," Scandinavian Journal of Economics 87 (1985), 463-473. Received the David Davidson Prize for best paper that year [Abstract]
• "Unbounded Expected Utility and Continuity," Mathematical Social Sciences 8 (1984), 201-216. "Corrigenda," Mathematical Social Sciences 14 (1987), 193-194.

Common Knowledge

• "Common Knowledge: The Case of Linear Regression," Journal of Mathematical Economics 26 (1996), 285-304 [Abstract]
• "Common Knowledge of a Multivariate Aggregate Statistic," International Economic Review 36 (1995), 207-216 [Abstract]
• "Common Knowledge of an Aggregate of Expectations," Econometrica 58 (1990), 1235-1239 (with A. Brandenburger, J. Geanakoplos, R. D. McKelvey and T. Page) [Abstract]
• "Common Knowledge, Communication, and Convergence of Beliefs," Mathematical Social Sciences 8 (1984), 1-14 [Abstract]

Equilibrium in CAPM (and related issues)

• "Pareto Optima in Incomplete Financial Markets," Journal of Mathematical Economics 23 (1994), 87-100 [Abstract]
• "Positive Prices in CAPM," Journal of Finance 47 (1992), 791-808 [Abstract]
• "Existence of Equilibrium in CAPM: Further Results," Nationaløkonomisk Tidsskrift 130 (1992), 189-197 [Abstract]
• "Existence of Equilibrium in CAPM," Journal of Economic Theory 52 (1990), 223-231 [Abstract]
• "Equilibrium in CAPM Without a Riskless Asset," Review of Economic Studies 57 (1990), 315-324 [Abstract]
• "Asset Market Equilibrium with Short-Selling," Review of Economic Studies 56 (1989), 467-474 [Abstract]
• "Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis 23 (1988), 329-336 [Abstract]

Bargaining Theory

• "Risk Sensitivity in Bargaining with More than Two Participants," Journal of Economic Theory 32 (1984), 371-376 [Abstract]
• "Ordinal Interpersonal Comparisons in Bargaining," Econometrica 51 (1983), 219-221.

Mathematical Economics

• "Pareto Optima, Non-Convexities, and Regulated Market Equilibria," Journal of Mathematical Economics 11 (1983), 57-63.

Mathematics

• "Transversality and the Inverse Image of a Submanifold with Corners," Mathematica Scandinavica 49 (1981), 211-221 [Introduction] [Download the paper (pdf) from Mathematica Scandinavica's website]

Public Debt, Foreign Debt, and the Balance of Payments

• "Yield Spreads and Optimal Public Debt Management Under the Single Currency," in European Capital Markets with a Single Currency, edited by J. Dermine and P. Hillion, Oxford University Press, 1999 [Abstract]
• "Valutarisiko, valutagæld og rentespænd" ("Exchange Rate Risk, Foreign Exchange Debt, and the Interest Rate Differential"), Nationaløkonomisk Tidsskrift 127 (1989), 346-355 [Abstract]
• "Vi har råd til den udlandsgæld vi har" ("The Burden of the External Debt"), Sparekassen (1988), 5, 12-17.
• "Udlandsgældens årsager og konsekvenser" ("Causes and Consequences of the Foreign Debt"), Økonomi og Politik 61 (1988), 2, 32-40. [Abstract]
• "Forbedringen af Betalingsbalancen" ("The Improvement of the Current Account"), Samfundsøkonomen (1988), 5, 25-29 [Abstract]
• "Den offentlige gæld: Hvor meget er gæld i fremmed valuta og hvorfor?"' ("The Public Debt: How Much is in Foreign Currency and Why?"), Finans/Invest (1988), 7, 4-9