The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results
M. J. Brennan, The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results, The Journal of Financial and Quantitative Analysis, Vol. 10, No. 3 (Sep., 1975), pp. 483-496