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A simple algorithm to incorporate transactions costs in quadratic optimisation

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References

1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
1982Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency48 cited

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2004On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management40 cited
2020Enhanced index tracking with CVaR-based ratio measures37 cited
2001MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS37 cited
2014Mean-reversion and optimization35 cited

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