Miguel Sousa Lobo, Maryam Fazel, Stephen Boyd. Portfolio optimization with linear and fixed transaction costs. Annals OR, 152(1):341-365, 2007. [doi]
@article{LoboFB07,
title = {Portfolio optimization with linear and fixed transaction costs},
author = {Miguel Sousa Lobo and Maryam Fazel and Stephen Boyd},
year = {2007},
doi = {10.1007/s10479-006-0145-1},
url = {http://dx.doi.org/10.1007/s10479-006-0145-1},
tags = {optimization},
researchr = {https://researchr.org/publication/LoboFB07},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {152},
number = {1},
pages = {341-365},
}