I've been studying portfolio optimization trying to go step by step. After seeing much of Markowitz and Merton's work (Although I still don't get all of it), I would like to have acquire more knowledge about theories that introduce transaction costs.
I've read somewhere that it first begun with Magill and Constantinides ? Is it the simplest one out there ? Should I start by that or would you advise me to see something else ? Can anyone recommend a reference where I could study the Magill model ?
Thank you !