1. the case of mean-variance optimization with linear costs. For a recent discussion, see, e.g., [Kakushadze;Meade ; J C Adcock;Here we will not delve into the w i = 0 (and other important) subtleties. Such subtleties arise,1982
2. Equity market impact;R Almgren;Risk Magazine,2005
3. Internet Bubble Examination with Mean-Variance Ratio;Z D Bai;Handbook of Financial Econometrics and Statistics,2015
4. The mean-variance ratio test -A complement to the coefficient of variation test and the Sharpe ratio test;Z D Bai;Statistics & Probability Letters,2011
5. Portfolio selection and transactions costs;M J Best;Computational Optimization and Applications,2003