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Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
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References

  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 1999Transaction costs and predictability: some utility cost calculations484 cited
  • 2004Robust linear optimization under general norms482 cited
  • 1999The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights472 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2007Robust Portfolio Optimization

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175 cited
  • 2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
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    • 2019Large-scale portfolio allocation under transaction costs and model uncertainty49 cited
    • 2018A linear programming model for selection of sparse high-dimensional multiperiod portfolios48 cited
    • 2021Optimal Portfolio Diversification via Independent Component Analysis41 cited