Nathan-

Let me take a first crack at responding.

My comments apply to the long-horizon growth portion of a client's portfolio, not the emergency/liquidity or income portions.

Neither correlation nor volatility are very important in building long horizon wealth. Expected and excess returns (earned by truly active equity managers) dominate all other portfolio considerations. This being the case, why invest in anything other than equities since there is no other asset class of which I am aware (with the maybe the exception of real estate and manged futures) that has an expected return anywhere close to equities.

So if maximizing long horizon wealth is your goal, there is no need for an alternate portfolio construction methodology. Just invest in equities and any other asset class with comparable expected returns, if you can find them. Equal weighting will work fine in this situation.

This is quite a change of heart for me as I began my academic career nearly 40 years ago, being skilled in and enjoying estimating variance-covariance matrices, the foundation of mean-variance portfolio construction. But alas, that is now all a distant memory.