Usman - nice article.

I would however add the following: The authors fail to address the asymmetrical nature of volatility (i.e. semi-variances) and the higher moments of the return distribution. It would have been nice to see some statistics regarding skewness and kurtosis. Volatility, when viewed in isolation, can greatly distort reality. If we also include a time-varying approach and better capture the non-linear nature of risk, it hopefully becomes more apparent that the authors' simplistic approach becomes just as questionable as those based on Modern Portfolio Theory.

Thank for sharing this information.