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Cai}, \\textit{K.-L. Teo}, \\textit{X. Yang} and \\textit{X. Y. Zhou} [Manage. Sci. 46, 957--972 (2000)]. An investor has total fund \\(M\\) which is to invested into possible assets \\(S_1,\\dots, S_n\\). Let \\(x_j\\geq 0\\) be the allocation from the total fund \\(M\\) for investment into \\(S_j\\). The transaction cost function of \\(S_j\\) is given by  \\[ c_j(x_j)= \\begin{cases} 0,\\quad &x_j= 0,\\\\ p_j u_j,\\quad & 0< x_j< u_j,\\\\ p_j x_j,\\quad & u_j\\leq x_j\\end{cases} \\]  for given constants \\(u_j> 0\\) and \\(p_j>0\\). Let \\(R_j\\) be the (random) rate of return of \\(S_j\\), and let \\(r_j\\) and \\(q_j\\) denote the expected return rate of \\(S_j\\) and, respectively, the expected absolute deviation of \\(R_j\\) from its mean. The portfolios \\((x_1,\\dots, x_n)\\) under consideration are assumed to sastisfy  \\[ \\sum^n_{j=1} (x_j+ c_j(x_j))= M. \\]  Thus the expected return of a portfolio \\(x= (x_1,\\dots, x_n)\\) is given by  \\[ R(x)= \\sum^n_{j=1} (r_j x_j- c_j(x_j)). \\]  The \\(L^\\infty\\) risk function is defined as \\(Q(x)= \\max_{1\\leq j\\leq n} q_j x_j\\). This leads to the following nonlinear optimization problem  \\[ (\\text{BP})\\;\\begin{cases} \\min(Q(x),-R(x)),\\\\ \\text{s.t. }x_j\\geq 0,\\;\\sum^n_{j=1} (x_j+ c_j(x_j))= M.\\end{cases} \\]  The program (BP) is converted into a parametric optimization problem \\((\\text{PP}(\\theta))\\) \\((0<\\theta<\\infty)\\) with a single criterion:  \\[ (\\text{PP}(\\theta))\\;\\begin{cases} \\min(\\theta Q(x)- R(x)),\\\\ \\text{s.t. }x_j\\geq 0,\\;\\sum^n_{j=1} (x_j+ c_j(x_j))= M.\\end{cases} \\]  Any solution of \\((\\text{PP}(\\theta))\\) is a solution of (BP). The authors obtain a characterization of solutions of \\((\\text{PP}(\\theta))\\) without transaction costs (i.e. \\(c_j\\equiv 0\\), \\(1\\leq j\\leq n\\)) which plays a key role in characterizing the solutions of \\((\\text{PP}(\\theta))\\) in the presence of transaction costs. Finally, an efficient algorithm for solving \\((\\text{PP}(\\theta))\\) for sufficiently large \\(M\\) is 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