Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
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- Adaptive online portfolio selection with transaction costs
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- Consistent Plans
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- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal multi-period mean-variance policy under no-shorting constraint
- Optimal Portfolio Selection with Transaction Costs
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- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
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