Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
重新表述了Konno和Yamazaki（1991）的均值绝对偏差投资组合优化模型，证明新模型的最优组合中非零资产数量上界从2T+2降至T+2，对研究投资组合理论的学者有参考价值。
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 + 2, where T is the number of time periods in the data base used to approximate the parameters of the return distributions of the assets. The formulation we present, which is shown to be equivalent to that of Konno and Yamazaki, has a bound of T + 2 on the number of nonzero assets in the optimal portfolio.