The Denmark midfielder is being linked with a January move to Manchester United.
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Asked about the rumours directly, Borges said: "A lot of questions (laughs)… We don’t have any tears, unlike last season. Muscle tears.
"Hjulmand is Hjulmand. Our leader, captain. He won’t always be at his best, but he’s always important.
"He demands of himself and his teammates every day. As for United, it’s October, and I’m focused on Marseille."