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 market frictions in the form of 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.