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V. DeMiguel, L. Garlappi and R. Uppal, “Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy,” Review of Financial Studies, Vol. 22, No. 5, 2007, pp. 1915-1953.

has been cited by the following article:

• TITLE: A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis

  AUTHORS: Theodoros Mavralexakis, Konstantinos Kiriakopoulos, George Kaimakamis, Alexandros Koulis

  KEYWORDS: Portfolio Optimization, Expected Shortfall, Minimum Variance

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.2, August 25, 2011

  ABSTRACT: In this paper the behaviour of various popular risk portfolios measures used for portfolio construction are compared using data from the recent financial crisis. Results are revealing the way optimal portfolios should be constructed. Despite the conventional wisdom, short selling gives only a marginal improvement to portfolio performance during the crisis period. Optimal semivariance portfolio produces better results than the portfolio constructed with the more advanced expected short fall method. Additional historical information has added to performance up to a point and long dated history seems not to be commensurate with additional benefits. Rebalancing frequency seems to have an optimal point that favours neither overtrading nor the conventional buy and hold strategy.