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.

but this turns out to be a poor way to find G- and I-optimal designs. One reason for this is that there are no efficient low-rank update rules (see "Useful Matrix Formulas"), so that the searches can ...