Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of...

This supplemental appendix accompanies "Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon" by the same authors, available at:"http://ssrn.com/abstract=2659918" http://ssrn.com/abstract=2659918. In this appendix we prove the verification theorem that the...

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, "http://ssrn.com/abstract=2374150" http://ssrn.com/abstract=2374150, we give an accuracy proof for the finite time optimal investment and consumption problem under fast...

We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We...

We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive the nonlinear backward stochastic differential equations (BSDEs)...

We find optimal trading policies for long-term investors with constant relative risk aversion and constant investment opportunities, which include one safe asset, liquid risky assets, and an illiquid risky asset trading with proportional costs. Access to liquid assets creates a diversification...

This supplemental appendix accompanies "Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration" by the same authors, available at:http://ssrn.com/abstract=3701852. This appendix contains the proof of theorems omitted in the main text

In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants and can be viewed as a generalization of the Esscher premium. Existence and uniqueness of clearing prices for the...

We find equilibrium stock prices and interest rates in a representative-agent model where dividend growth is uncertain, but gradually revealed by dividends themselves, while asset prices reflect current information and the potential impact of future knowledge. In addition to the usual premium...