In this note we prove a simple formula to compute the Incremental Volatility, i.e. the change in the portfolio volatility due to the removal of one asset from the portfolio. The common practice adopted in the literature and in the industry is to avoid the full recalculation of the portfolio...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

We study optimal portfolio choice and labour market participation in a continuous time setting in which agents face health shocks, medical expenses, and random lifetimes. We explore the implications of different forms of health coverage and study their impact on dynamic portfolios and labour...