Ren Liu, Johannes Muhle-Karbe. Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. SIAM J. Financial Math., 4(1):203-227, 2013. [doi]
@article{LiuM13-13,
title = {Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints},
author = {Ren Liu and Johannes Muhle-Karbe},
year = {2013},
doi = {10.1137/120885036},
url = {http://dx.doi.org/10.1137/120885036},
researchr = {https://researchr.org/publication/LiuM13-13},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {4},
number = {1},
pages = {203-227},
}