Weiwei Shen, Jun Wang. Transaction Costs-Aware Portfolio Optimization via Fast Lowner-John Ellipsoid Approximation. In Blai Bonet, Sven Koenig, editors, Proceedings of the Twenty-Ninth AAAI Conference on Artificial Intelligence, January 25-30, 2015, Austin, Texas, USA. pages 1854-1860, AAAI Press, 2015. [doi]
Abstract is missing.