John E. Mitchell, Stephen Braun. Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs. Optimization Methods and Software, 28(3):523-542, 2013. [doi]
@article{MitchellB13,
title = {Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs},
author = {John E. Mitchell and Stephen Braun},
year = {2013},
doi = {10.1080/10556788.2012.717940},
url = {http://dx.doi.org/10.1080/10556788.2012.717940},
researchr = {https://researchr.org/publication/MitchellB13},
cites = {0},
citedby = {0},
journal = {Optimization Methods and Software},
volume = {28},
number = {3},
pages = {523-542},
}