References

Ardia, David, Katharine Mullen, Brian Peterson, and Joshua Ulrich. 2021. DEoptim: Global Optimization by Differential Evolution. https://github.com/ArdiaD/DEoptim.
Bendtsen., Claus. 2012. Pso: Particle Swarm Optimization. https://CRAN.R-project.org/package=pso.
Black, Fischer, and Robert Litterman. 1992. “Global Portfolio Optimization.” Financial Analysts Journal 48 (5): 28–43. https://doi.org/10.2469/faj.v48.n5.28.
Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. https://doi.org/10.2307/2329556.
Corporation, Microsoft, and Steve Weston. 2020. doParallel: Foreach Parallel Adaptor for the ’Parallel’ Package. https://CRAN.R-project.org/package=doParallel.
DeMiguel, Victor, Lorenzo Garlappi, Francisco J. Nogales, and Raman Uppal. 2009. “A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms.” Management Science 55 (5): 798–812.
DeMiguel, Victor, Lorenzo Garlappi, and Raman Uppal. 2009. “Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?” The Review of Financial Studies 22 (5): 1915–53.
Fama, Eugene F., and Kenneth R. French. 1992. “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–65. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x.
———. 2014. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2014.10.010.
Gubian, Sylvain, Yang Xiang, Brian Suomela, Julia Hoeng, and PMP SA. 2018. GenSA: Generalized Simulated Annealing. https://CRAN.R-project.org/package=GenSA.
Markowitz, Harry. 1952. “Portfolio Selection.” The Journal of Finance 7 (1): 77–91.
Newey, Whitney K., and Kenneth D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–8. https://doi.org/10.2307/1913610.
Peterson, Brian G., and Peter Carl. 2018. PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios. https://github.com/braverock/PortfolioAnalytics.
Rubinstein, Mark. 2002. “Markowitz’s Portfolio Selection: A Fifty-Year Retrospective.” The Journal of Finance 57 (3): 1041–45. https://doi.org/10.1111/1540-6261.00453.
Wickham, Hadley. 2014. “Tidy Data.” Journal of Statistical Software 59 (10): 1–23.
———. 2019. Advanced R, Second Edition. 2nd edition. Boca Raton: Chapman and Hall/CRC.
Wickham, Hadley, Mara Averick, Jennifer Bryan, Winston Chang, Lucy D’Agostino McGowan, Romain François, Garrett Grolemund, Alex Hayes, Lionel Henry, and Jim Hester. 2019. “Welcome to the Tidyverse.” Journal of Open Source Software 4 (43): 1686.
Wickham, Hadley, and Garrett Grolemund. 2016. R for Data Science: Import, Tidy, Transform, Visualize, and Model Data. " O’Reilly Media, Inc.".