Merton, Robert C., and Paul A. Samuelson. "Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods." Journal of Financial Economics 1 (May 1974): 67–94.

It is possible to apply the search techniques available in the OPTEX procedure to these two criteria, but this turns out to be a poor way to find G- and I-optimal designs. One reason for this is that ...

Alexandre Antonov, Alexander Lipton and Marcos Lopez de Prado compare and contrast two portfolio allocation methods: the classical Markowitz approach and the hierarchical risk parity (HRP) approach.