Robust portfolio optimization with a hybrid heuristic algorithm

Optimization by Simulated Annealing

Scott Kirkpatrick, C. D. Gelatt, M.P. Vecchi · Science · 1983 · 44.6K citations

Natural Sciences, Mathematics, Algorithms +10

Portfolio Selection

Harry M. Markowitz · The Journal of Finance · 1952 · 4.5K citations

Symmetric Multivariate and Related Distributions.

Sanat K. Sarkar, Kai-Tai Fang, Samuel Kotz et al. · Journal of the American Statistical Association · 1991 · 1.6K citations

Natural Sciences, Mathematics, Probability Theory +16

The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

Richard O. Michaud · Financial Analysts Journal · 1989 · 1.3K citations

Business, Economics, Finance +15

Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing

Gunter Dueck, Tobias Scheuer · Journal of Computational Physics · 1990 · 1.2K citations

Natural Sciences, Computer Science, Algorithms +6