General sparse risk parity portfolio design via successive convex optimization

Portfolio Selection: Efficient Diversification of Investments.

H. S. Houthakker, Harry M. Markowitz · Journal of the American Statistical Association · 1962 · 3.7K citations

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Optimal Versus Naive Diversification: How Inefficient is the 1/<i>N</i>Portfolio Strategy?

Victor DeMiguel, Lorenzo Garlappi, Raman Uppal · Review of Financial Studies · 2007 · 3.2K citations

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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf · Journal of Empirical Finance · 2003 · 1.7K citations

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The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

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

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

Victor DeMiguel, Lorenzo Garlappi, Francisco J. Nogales et al. · Management Science · 2009 · 1.1K citations

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