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13: MEAN-VARIANCE PORTFOLIO CHOICE > REFERENCES
REFERENCES
Adcock, C. J., and N. Meade. (1994). “A Simple Algorithm to Incorporate Transaction Costs in Quadratic Optimization,” European Journal of Operational Research 79: 85–94.
Best, M. J., and R. R. Grauer. (1991). “On the Sensitivity of Mean-Variance Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results,” Review of Financial Studies 4 (2): 315–342.
Best, M. J., and J. Hlouskova. (2005). “An Algorithm for Portfolio Optimization with Transaction Costs,” Management Science 51 (11): 1676–1688.
Black, F., and R. Litterman. (1992). “Global Portfolio Optimization,” Financial Analysts Journal 48: 28–43.
Chen, A. H., F. J. Fabozzi, and D. Huang. (2010). “Models for Portfolio Revision with Transaction Costs in the Mean-Variance Framework.” In J.B. Guerard, Jr. (ed.), The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques. New York: Springer.