Portfolio Selection with Multiple Assets and Capital Gains Taxes

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.1K citations

Mathematical Programming, Economics, Portfolio Optimization +9

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

Mathematical Programming, Log-normal Diffusion, Portfolio Choice +17

Foundations for Financial Economics.

Gregory Connor, Chi-fu Huang, Robert H. Litzenberger · The Journal of Finance · 1989 · 870 citations

Financial System, Economics, Financial Economics +13

Optimal Investment and Consumption with Transaction Costs

Steven E. Shreve, H. Meté Soner · The Annals of Applied Probability · 1994 · 659 citations · Full text

Proportional Transaction Costs, Economics, Computational Finance +14

Foundations for Financial Economics

Paul Pfleiderer · Review of Financial Studies · 1988 · 529 citations

Empirical Finance, Financial System, Economics +8