Before revision:  We also discuss how to introduce various constraints on the investor's portfolio and  temporary quadratic transaction costs in both discrete and continuous time, provide Monte Carlo simulations of the previous strategies  , and describe further  extensions of our work.
After revision:  We also discuss how to introduce various constraints on the investor's portfolio and temporary quadratic transaction costs in both discrete and continuous time, provide Monte Carlo simulations of the previous strategies with 100 assets , and describe further extensions of our work.