We analyze the properties of different estimators of multivariate volatilities in the presence of microstructure noise, with particular focus on the Fourier estimator. This estimator is consistent in the case of asynchronous data and robust to microstructure effects; further we prove the...

Assuming a Constant Elasticity of Variance (CEV) model for the asset price, that is a defaultable asset showing the so called leverage effect (high volatility when the asset price is low), a VaR constraint reevaluated over time induces an agent more risk averse than a logarithmic utility to take...

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...