Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

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Continuous-time mean–risk portfolio selection (2005, background): “For a recent survey on the Markowitz model and models with risk measures, refer to [23].”
Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “A selected overview of the tremendous amount of research initiated by Markowitz’s seminal work can be found in Steinbach (2001).”
Least-squares approach to risk parity in portfolio selection (2016, positive): “Numerous methods based on the famous Markowitz meanvariance framework have been proposed to overcome its drawbacks while maintaining its advantages (see, for instance, Steinbach 2001).”
Recent advances in reinforcement learning in finance (2021, positive): “This is a single-period optimization problem and is then generalized to multi-period portfolio optimization problems in [173, 108, 195, 166, 211, 147].”
Continuous-time mean-variance efficiency: the 80% rule (2006, background): “(In particular, refer to [10] and [2] for elaborative discussions on the history of the mean-variance model.”