  In this work, we consider the optimal portfolio selection problem under hard
constraints on trading amounts, transaction costs and different rates for
borrowing and lending when the risky asset returns are serially correlated. No
assumptions about the correlation structure between different time points or
about the distribution of the asset returns are needed. The problem is stated
as a dynamic tracking problem of a reference portfolio with desired return. Our
approach is tested on a set of a real data from Russian Stock Exchange MICEX.
