Oliver Vestergaard

Oliver Vestergaard is a Research Fellow in the Optimal Policy and Applications Division at the Institute for Advanced Dynamic Uncertainty. He holds a PhD in Economics from the University of Copenhagen (Department of Economics), where his doctoral research developed continuous-time models of optimal resource extraction under stochastic commodity price dynamics. His thesis formulated the sovereign resource manager's problem as an infinite-horizon stochastic control problem with a finite stock constraint, derived the associated HJB equation, and characterised the optimal extraction rate as a state-dependent feedback policy that balances current revenue against the option value of depletion. The analysis established conditions under which precautionary motives — arising from price volatility and demand uncertainty — lead optimal extraction paths to diverge substantially from Hotelling's deterministic rule. Following his doctorate, Vestergaard extended this framework to settings in which revenues are shared between a sovereign wealth fund and a current expenditure budget, examining how the optimal allocation between saving and spending depends on the volatility of the price process and the government's intertemporal elasticity of substitution. At IADU, he leads the energy economics research strand, contributing quantitative frameworks for optimal resource revenue management, fiscal sustainability under commodity price uncertainty, and the sovereign investment problem for resource-dependent economies.