A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
提出一种简单算法，在收益率协方差矩阵满足特定条件（如两两相关系数近似相等）时，能高效求解固定交易成本下的最优投资组合选择问题，并可用于组合调整。
The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable restrictions on the variance-covariance matrix of returns, it is possible to simplify the solution of the problem. Specifically if the structure of returns between securities is such that the pairwise correlation coefficients are approximately the same, a fairly simple algorithm which requires little computational effort can be employed. This method can also be extended to the case where changes in the information set necessitate a revision of an existing portfolio.