If your ancestor was educated in one of universities in Denmark, he may have been recorded in the matriculation records of that school. Some of these records have been published, notably for the nineteenth to the twentieth centuries. If you have ancestors who lived in Copenhagen, it is worthwhile to examine that city's matriculation records.
School records may contain valuable information about your ancestor, such as his name, age, hometown, and dates of enrollment and graduation. Sometimes they contain biographical information, including names of parents, wife, and children. The Family History Library has collected some school records. These records are listed in the catalog under the following:
DENMARK - SCHOOLS
DENMARK, [COUNTY] - SCHOOLS
DENMARK, [COUNTY], [UNIVERSITY TOWN] - SCHOOLS
The original records (and any published versions) may have been kept by the university. In some areas, local or state archives may have these records.