References

• 1952PORTFOLIO SELECTION*18,429 cited
• 2000Optimization of conditional value-at-risk6,722 cited
• 1990Portfolio Selection with Transaction Costs1,318 cited
• 201360 Years of portfolio optimization: Practical challenges and current trends641 cited
• 1976Portfolio selection with transactions costs431 cited
• 2006Portfolio optimization with linear and fixed transaction costs350 cited
• 2002Optimal Portfolio Selection with Transaction Costs and Finite Horizons277 cited
• 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS219 cited
• 2013Twenty years of linear programming based portfolio optimization218 cited
• 2000Selecting Portfolios with Fixed Costs and Minimum Transaction Lots162 cited
• 1998Portfolio optimisation with strictly positive transaction costs and impulse control161 cited
• 2012Portfolio rebalancing with an investment horizon and transaction costs118 cited
• 2011Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks, and State‐Dependent Transaction Costs100 cited
• 2015Linear and Mixed Integer Programming for Portfolio Optimization84 cited
• 2018Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization