Kirby, Chris; Ostdiek, Barbara - In: Journal of Financial and Quantitative Analysis 47 (2012) 02, pp. 437-467
DeMiguel, Garlappi, and Uppal (2009) report that naïve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on portfolios that are subject to high estimation risk and...