David B. Brown, James E. Smith. Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds. Management Science, 57(10):1752-1770, 2011. [doi]
@article{BrownS11-1,
title = {Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds},
author = {David B. Brown and James E. Smith},
year = {2011},
doi = {10.1287/mnsc.1110.1377},
url = {http://dx.doi.org/10.1287/mnsc.1110.1377},
researchr = {https://researchr.org/publication/BrownS11-1},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {57},
number = {10},
pages = {1752-1770},
}