Dimitris Bertsimas, Dessislava Pachamanova. Robust multiperiod portfolio management in the presence of transaction costs. Computers & OR, 35(1):3-17, 2008. [doi]
@article{BertsimasP08,
title = {Robust multiperiod portfolio management in the presence of transaction costs},
author = {Dimitris Bertsimas and Dessislava Pachamanova},
year = {2008},
doi = {10.1016/j.cor.2006.02.011},
url = {http://dx.doi.org/10.1016/j.cor.2006.02.011},
researchr = {https://researchr.org/publication/BertsimasP08},
cites = {0},
citedby = {0},
journal = {Computers & OR},
volume = {35},
number = {1},
pages = {3-17},
}