Feinstein, Charles D.; Thapa, Mukund N. - In: Management Science 39 (1993) 12, pp. 1552-1553
nonzero assets in the optimal portfolio is at most 2T + 2, where T is the number of time periods in the data base used to … to that of Konno and Yamazaki, has a bound of T + 2 on the number of nonzero assets in the optimal portfolio. …