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Portfolio rebalancing with an investment horizon and transaction costs

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References

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2000Selecting Portfolios with Fixed Costs and Minimum Transaction Lots162 cited
1970

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AN EXTENSION OF THE MARKOWITZ PORTFOLIO SELECTION MODEL TO INCLUDE VARIABLE TRANSACTIONS' COSTS, SHORT SALES, LEVERAGE POLICIES AND TAXES

154 cited

2000Robust Modeling of Multi-Stage Portfolio Problems136 cited

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