Before revision:  We also extend our model to incorporate various constraints on the investor's portfolio  and market frictions in the form of temporary quadratic transaction costs, provide extensive Monte Carlo simulations of the previous strategies with 100 assets, and describe further possible extensions of our work.
After revision:  We also extend our model to incorporate constraints on the investor's portfolio and market frictions in the form of temporary quadratic transaction costs, provide extensive Monte Carlo simulations of the previous strategies with 100 assets, and describe further possible extensions of our work.