The purpose of this note is to present a reformulation of the model presented by Konno and Yamazaki (1991). In their paper, it was claimed that (under the assumption that there is no upper limit on the investment in an asset) the number of nonzero assets in the optimal portfolio is at most 2T +...

The purpose of this paper is to demonstrate that a portfolio optimization model using the L₁ risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its advantages over equilibrium models. In particular,...