1 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.MF2022★ 1 cited
Strategic mean-variance investing under mean-reverting stock returns
Søren Fiig Jarner
In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying…
q-fin.MF2022★ 1 cited
Analysis of a five-factor capital market model
Søren Fiig Jarner, Michael Preisel
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess ret…
stat.ME2021
Stochastic frailty models for modeling and forecasting mortality
Søren Fiig Jarner
In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age…