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...

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 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...

An agent invests in two types of futures contracts, whose prices are possibly correlated arithmetic Brownian motions, and invests in a money market account with a constant interest rate. The agent pays a transaction cost for trading in futures proportional to the size of the trade. She also...

We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of her investment at the final time T, in the presence of a positive proportional transaction cost Λ0. The utility function is of the form U(c)=c^{p}/p for p1, and p no equal to zero....