Whenever a new financial product is offered by the financial industry, a rational investor faces a trade off between diversification benefits and costs of "getting to know" the newly introduced asset. In this paper the investor who can diversify can also decide either to pay a fee and separate...

The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to reflect the properties of trade, which it represents. The resulting process may...

Time changed Brownian motions are extensively applied as decision models for asset returns in Finance. On the other hand infinite divisible normal mixtures generate time changed Brownian motions. The standard generalization leading to the multivariate setting of normal mean variance mixtures...