Well, there's the same good story behind the Dutch architecture and the moving borders. It all began with the good King Christian IV (1577 -164
and his special skill at "consuming great amounts of alcohol, while remaining lucid", as Wiki so diplomatically puts it
Since we're all story-lovers here, read on.
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Christian was Denmark's most talented and energetic King. He fought wars, organized explorations and colonies, started the Danish East India company, and, with two consecutive wives and three on-and-off mistresses, fathered twenty-four(!) children.
He became King at the tender age of 11. Until he turned 19, the country was ruled in his name by a very prudent and very careful regency council. They gave him a prosperous and peaceful country to rule -- and a very deep hunger for excitement and glory.
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As soon as he'd been crowned, he began building up an army (and tripling the Navy's size while he was at it), and as soon as he was ready, he started a war with Sweden -- and won it. Feeling his oats, he promptly rebuilt his army and decided to join the fun of the Thirty Years' War. The council said 'no more wars, they're SO expensive', so he had to pay-and-play as Duke of Sleswick and Holstein (he was both King and Duke, things were complicated back then).
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Alas, according to legend, one fine morning shortly before the first major battle, Christian may have been lucid, but he couldn't stay on his horse, so he fell off it, and continued into a moat. Somewhat the worse for wear from the fall and the hangover, he was still the commander-in-chief when it was time for the big battle of Lutter am Barenberge.
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And the danes got their behinds handed to them.
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The King lost his taste for war, went home and sought glory in building -- and building, and building, and building, until Denmark was effectively bankrupt. He started, and sometimes even completed, most of all those Dutch-style fortresses and mansions you see especially in Copenhagen. He also found time to lose a renewed war with Sweden, initiating the peculiarly Danish tradition of celebrating heroic defeats (
https://en.wikipedia.org/wiki/File:Chr_4_ved_h%C3%B8jen_mast_crop.jpg) since at least you gave the other side a good run for their money.
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He also started the process of reducing Denmark, lost province by lost province, since the Swedes took a few bites off his kingdom in exchange for peace.
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Christian IV remains a fondly remembered King. Since he began the process, Denmark has lost just about every fight she picked, and gotten rid of all the inessentials, eventually producing a small, peace-loving country with a beautiful architectural heritage that tourists celebrate each year, as in this post