New answers tagged robust-optimization
It depends on what you want to optimize with transaction costs: liquidation hedging allocation The two best reference I have in mind are: Gökay, S., Roch, A., Soner, 2011. Liquidity models in continuous and discrete time. In: Di Nunno, G., Øksendal, B. (Eds.), Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, pp. 333-365. URL ...
You could refer Dimitris Bertsimas's work on Robust Optimization. One of his notable works that may be relevant include robust optimization formulations of the multiperiod portfolio optimization problem in the presence of transaction costs.
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