Before revision:  Using datacapturing several hundred Nasdaq stocks over more than 10 years , we illustrate that transaction cost regularization (even to small extent) is crucial in order to produce allocations with positive Sharpe ratios.
After revision:  Using datacapturing several hundred Nasdaq stocks over more than 10 years , we illustrate that turnover penalization is more effective than commonly employed shrinkage methods and is crucial in order to produce allocations with positive Sharpe ratios.